Volatility Spillovers Among EAGLE Economies: Insights from Frequency-Based TVP-VAR Connectedness

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dc.authorid0000-0001-5290-5846
dc.authorid0000-0003-0609-2631
dc.contributor.authorAri, Yakup
dc.contributor.authorKurt, Hakan
dc.contributor.authorUcak, Harun
dc.date.accessioned2026-01-24T12:26:35Z
dc.date.available2026-01-24T12:26:35Z
dc.date.issued2025
dc.departmentAlanya Alaaddin Keykubat Üniversitesi
dc.description.abstractThis study aims to reveal the network connectedness between the volatilities of Emerging and Growth-Leading Economies (EAGLEs) stock exchanges with the frequency-based TVP-VAR connectedness approach. Connectedness results were obtained in short (1-5 days) and long (5-inf) period frequencies among the volatilities obtained with the Garman-Klass volatility estimator. According to the dynamic TCI results, connectivity peaked during the COVID-19 and Russia-Ukraine War periods. BVSP is the most dominant transmitter of the network and spreads the most effect to the emerging markets. As a result of the pairwise metrics, SSE has the lowest values and is positioned as a relatively independent market in the network. In particular, SSE has almost no connection with BIST in the short term, while it has a more significant effect on BIST in the long term. Moreover, the connectedness metrics show that MOEX is in a neutral position in the network and is largely affected by its internal dynamics.
dc.identifier.doi10.3390/math13081256
dc.identifier.issn2227-7390
dc.identifier.issue8
dc.identifier.scopus2-s2.0-105003674088
dc.identifier.scopusqualityQ1
dc.identifier.urihttps://doi.org/10.3390/math13081256
dc.identifier.urihttps://hdl.handle.net/20.500.12868/4774
dc.identifier.volume13
dc.identifier.wosWOS:001475298600001
dc.identifier.wosqualityQ1
dc.indekslendigikaynakWeb of Science
dc.indekslendigikaynakScopus
dc.language.isoen
dc.publisherMdpi
dc.relation.ispartofMathematics
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı
dc.rightsinfo:eu-repo/semantics/openAccess
dc.snmzKA_WoS_20260121
dc.subjectEAGLEs countries
dc.subjectfrequency connectedness
dc.subjectpairwise connectedness
dc.subjectportfolio diversification
dc.subjectTVP-VAR
dc.subject70-10
dc.subject76-10
dc.titleVolatility Spillovers Among EAGLE Economies: Insights from Frequency-Based TVP-VAR Connectedness
dc.typeArticle

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