This paper examines volatility spillovers from mature to emerging stock markets and tests for changes in the transmission mechanismcontagionduring turbulences in mature markets. Tri-variate GARCH-BEKK models of returns in global (mature), regional, and local markets are estimated for 41 emerging...

This paper examines global (mature market) and regional (emerging market) spillovers in local emerging stock markets. Tri-variate VAR GARCH(1,1)-in-mean models are estimated for 41 emerging market economies (EMEs) in Asia, Europe, Latin America, and the Middle East. The models capture a range of...

In this article, we aim to model the level and structure of the dependence between the world's leading stock markets and those of the emerging market groups - Europe, Latin America and Far East. To this end we use a mixture model of Gaussian, Gumbel and Gumbel survival copulas. Our results...

In this article, we revisit the Friday the 13th effect discussed by Kolb and Rodriguez (1987) that has received increased interest in recent research. Using a dummy-augmented GARCH model, we investigate whether the occurrence of this superstitious calendar day has significant impact on the...