Volatility Spillovers Among EAGLE Economies: Insights from Frequency-Based TVP-VAR Connectedness DOI Creative Commons
Yakup Arı, Hakan Kurt, Harun Uçak

et al.

Mathematics, Journal Year: 2025, Volume and Issue: 13(8), P. 1256 - 1256

Published: April 11, 2025

This study aims to reveal the network connectedness between volatilities of Emerging and Growth-Leading Economies (EAGLEs) stock exchanges with frequency-based TVP-VAR approach. Connectedness results were obtained in short (1–5 days) long (5-inf) period frequencies among Garman–Klass volatility estimator. According dynamic TCI results, connectivity peaked during COVID-19 Russia–Ukraine War periods. BVSP is most dominant transmitter spreads effect emerging markets. As a result pairwise metrics, SSE has lowest values positioned as relatively independent market network. In particular, almost no connection BIST term, while it more significant on term. Moreover, metrics show that MOEX neutral position largely affected by its internal dynamics.

Language: Английский

Volatility Spillovers Among EAGLE Economies: Insights from Frequency-Based TVP-VAR Connectedness DOI Creative Commons
Yakup Arı, Hakan Kurt, Harun Uçak

et al.

Mathematics, Journal Year: 2025, Volume and Issue: 13(8), P. 1256 - 1256

Published: April 11, 2025

This study aims to reveal the network connectedness between volatilities of Emerging and Growth-Leading Economies (EAGLEs) stock exchanges with frequency-based TVP-VAR approach. Connectedness results were obtained in short (1–5 days) long (5-inf) period frequencies among Garman–Klass volatility estimator. According dynamic TCI results, connectivity peaked during COVID-19 Russia–Ukraine War periods. BVSP is most dominant transmitter spreads effect emerging markets. As a result pairwise metrics, SSE has lowest values positioned as relatively independent market network. In particular, almost no connection BIST term, while it more significant on term. Moreover, metrics show that MOEX neutral position largely affected by its internal dynamics.

Language: Английский

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