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Asymmetric Spillovers Between the Stock Risk Series: Case of CESEE Stock Markets


Škrinjarić, Tihana
Asymmetric Spillovers Between the Stock Risk Series: Case of CESEE Stock Markets // Computational Management Applications of Computational Intelligence in Business Management / Patnaik, Srikanta ; Tajeddini, Kayhan ; Jain, Vipul (ur.).
Cham: Springer, 2021. str. 97-135 doi:10.1007/978-3-030-72929-5_5


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Naslov
Asymmetric Spillovers Between the Stock Risk Series: Case of CESEE Stock Markets

Autori
Škrinjarić, Tihana

Vrsta, podvrsta i kategorija rada
Poglavlja u knjigama, znanstveni

Knjiga
Computational Management Applications of Computational Intelligence in Business Management

Urednik/ci
Patnaik, Srikanta ; Tajeddini, Kayhan ; Jain, Vipul

Izdavač
Springer

Grad
Cham

Godina
2021

Raspon stranica
97-135

ISBN
978-3-030-72928-8

Ključne riječi
Spillovers ; Realized volatility ; Emerging markets ; Vector autoregression

Sažetak
Asymmetric behaviour of stock market variables is nothing new in theory and practice. However, the methodology which captures this behaviour should be developed and used properly, so that potential investors can benefit from it in the best possible way. This chapter deals with asymmetric spillovers between risk series of selected Central Eastern and South-Eastern European markets. There are several contributions to the literature. Firstly, the chapter gives an extensive and exhausting literature overview so that the advantages and shortfalls previous studies can be observed. This is helpful for future research and empirical applications. Secondly, this chapter deals with 15 CESEE at once, so that the full potential of the mentioned markets can be exploited. Thirdly, the empirical part of the analysis extensively deals with the simulation of investment strategies which are based on the results of the estimation, so that (potential) investors could obtain insights into the usefulness of the applied methodology. The methodology consists of VAR (vector autoregression) modelling with the inclusion of the spillover index methodology Diebold Yilmaz (Econ J 119(534):158–171 2009 [36]], (Int J Forecast 28(1):57–66 2012 [38]) and the extension to asymmetric spillovers in Baruník et al. (J Financial Markets 27:55–78 2016 [9]). The results of the analysis indicate that using the output from the asymmetric spillover behaviour, the investor could obtain better portfolio risk and return compared to the strategies when such information is not included.

Izvorni jezik
Engleski

Znanstvena područja
Matematika, Ekonomija



POVEZANOST RADA


Ustanove:
Ekonomski fakultet, Zagreb

Profili:

Avatar Url Tihana Škrinjarić (autor)

Citiraj ovu publikaciju

Škrinjarić, Tihana
Asymmetric Spillovers Between the Stock Risk Series: Case of CESEE Stock Markets // Computational Management Applications of Computational Intelligence in Business Management / Patnaik, Srikanta ; Tajeddini, Kayhan ; Jain, Vipul (ur.).
Cham: Springer, 2021. str. 97-135 doi:10.1007/978-3-030-72929-5_5
Škrinjarić, T. (2021) Asymmetric Spillovers Between the Stock Risk Series: Case of CESEE Stock Markets. U: Patnaik, S., Tajeddini, K. & Jain, V. (ur.) Computational Management Applications of Computational Intelligence in Business Management. Cham, Springer, str. 97-135 doi:10.1007/978-3-030-72929-5_5.
@inbook{inbook, author = {\v{S}krinjari\'{c}, T.}, year = {2021}, pages = {97-135}, DOI = {10.1007/978-3-030-72929-5\_5}, keywords = {Spillovers, Realized volatility, Emerging markets, Vector autoregression}, doi = {10.1007/978-3-030-72929-5\_5}, isbn = {978-3-030-72928-8}, title = {Asymmetric Spillovers Between the Stock Risk Series: Case of CESEE Stock Markets}, keyword = {Spillovers, Realized volatility, Emerging markets, Vector autoregression}, publisher = {Springer}, publisherplace = {Cham} }
@inbook{inbook, author = {\v{S}krinjari\'{c}, T.}, year = {2021}, pages = {97-135}, DOI = {10.1007/978-3-030-72929-5\_5}, keywords = {Spillovers, Realized volatility, Emerging markets, Vector autoregression}, doi = {10.1007/978-3-030-72929-5\_5}, isbn = {978-3-030-72928-8}, title = {Asymmetric Spillovers Between the Stock Risk Series: Case of CESEE Stock Markets}, keyword = {Spillovers, Realized volatility, Emerging markets, Vector autoregression}, publisher = {Springer}, publisherplace = {Cham} }

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