Gurdgiev, Constantin; O'Riordan, Conor - In: Journal of risk and financial management : JRFM 14 (2021) 10, pp. 1-29
-frequency domain to capture short- and long-term investors’ perspectives. Bi-directional spillovers are captured in terms of returns … financialization bubble period and the resulting Global Financial Crisis, we study volatility spillovers arising from the BRIC, U … major addition to the literature, our study captures spillovers from the advanced economies’ shocks to BRIC markets, as well …