This paper examines mean and volatility spillovers between the Turkish stock market with international stock, exchange rate and commodity markets. Our aim is not only to examine spillover behaviour with a large emerging market but also to examine cross — asset spillovers and how they vary...

We use wavelet analysis to examine the impact of macro-news announcements on the stock-bond correlation. Significant announcement effects appear after controlling for the recent financial crisis, with a link between the speed of reaction and the timing of announcements, with early released news...

We perform a comprehensive examination of the recursive, comparative predictive performance of a number of linear and non-linear models for UK stock and bond returns. We estimate Markov switching, threshold autoregressive (TAR), and smooth transition autoregressive (STR) regime switching models,...