TR Dizin İndeksli Yayınlar Koleksiyonu / TR Dizin Indexed Publications Collection
Permanent URI for this collectionhttps://hdl.handle.net/20.500.14365/4
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Article Volatility Transmission Between Housing and Stock Markets in Europe: a Multivariate Garch Perspective(Ege Univ, Fac Economics & Admin Sciences, 2018) Vardar, Gulin; Aydogan, BernaOver the past decade, the significant changes in the prices of stock and real estate markets have intensified the interest of heightened concern about volatility in these markets. This paper deals with the dynamic return and volatility transmissions across real estate and stock markets in European countries over the period from 1985:Q1 through 2017:Q1. Using VAR-BEKK-GARCH model, we find significant evidence supporting shock and volatility spillover effects from real estate to stock markets in Denmark, Finland, Ireland and Spain whereas evidence running from stock to real estate markets is found in Spain, Sweden and Italy. In contrast, there is no evidence of any such spillovers in Belgium. Overall, these empirical findings provide fresh insights and policy implications in cross-market volatility spillovers for domestic and international investors, and also policy makers, through the potential for improved risk management and more efficient portfolio diversification.Article Citation - WoS: 1Quantifying Return and Volatility Spillovers Among Major Cryptocurrencies: a Var-Bekk Analysis(Eskisehir Osmangazi Univ, Fac Education, 2022-12-01) Vardar, Gülin; Tacoglu, Caner; Aydogan, BernaThis study investigates mean and volatility spillover effects among eight major cryptocurrencies; Bitcoin, Ethereum, Litecoin, Ripple, Stellar, Bitcoin Cash, Cardano and EOS utilizing VAR-BEKK-GARCH model. The results point out that there are bidirectional and unidirectional spillover effects among these major cryptocurrencies. Moreover, the findings indicate that some cryptocurrencies are the transmitter, while others act as a receiver and among all, Litecoin is the highest transmitter, and Stellar is the only one that acts as a receiver. The interdependence among cryptocurrencies supports that they are becoming more integrated and thereby, provides important investment strategies for investors and policy implications for regulators.