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INFOGRAPHICS: PATTERNS OF INFORMATION FLOWS SHARING AND VOLATILITY SPILLOVERS

Abstract

It’s commonplace, that information drives prices. Can we infer the impact of information by just observing prices? Can we observe regime changes during crises, when markets are overwhelmed with waves of fear and greed? What happens in the aftermath? We estimate information flows on the world marketsby modeling volatility of regional stock indexes. Then we estimate VAR models for volatilities and use the capabilities of ‘circlize’ package from statistical environment ‘R project’ to visualize patterns of exposure and auto-determinism of information processes in global stock markets.

About the Author

V. Barmin
LLC Commercial Bank "Ergobank"
Russian Federation


References

1. Z.Gu, G. Lei, R. Eils, M.Schlesner, B. Brors. Circlize implements and enhances circular visualization in R. Bioinformatics, volume 30, issue 19, 2014.

2. B. Pfaff (2008). VAR, SVAR and SVEC Models: Implementation Within R Package vars. Journal of Statistical Software 27(4). URL http://www.jstatsoft.org/v27/i04/.

3. B. Pfaff. (2008) Analysis of Integrated and Cointegrated Time Series with R. Second Edition. Springer, New York. ISBN 0-387-27960-1.

4. A. Ghalanos (2014). Rugarch: Univariate GARCH models. R package version 1.3-4.

5. R Core Team (2014). R: A language and environment for statistical computing. R Foundation for Statistical Computing, Vienna, Austria. URL http://www.R-project.org/.

6. T.Bollerslev, A Multivariate Generalized ARCH Model with Constant Conditional Correlations for a Set of Exchange Rates. Northwestern University, manuscript, 1988.


Review

For citations:


Barmin V. INFOGRAPHICS: PATTERNS OF INFORMATION FLOWS SHARING AND VOLATILITY SPILLOVERS. Review of Business and Economics Studies. 2015;3(2):67-68. (In Russ.)



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ISSN 2308-944X (Print)
ISSN 2311-0279 (Online)