that China's stock market is not immune to the financial crisis, as evidenced by the price and volatility spillovers from … the United States. In addition, HK's equity returns have exhibited more significant price and volatility spillovers from … the United States than China's returns, and past volatility shocks in the United States have a more persistent effect on …

that China''s stock market is not immune to the financial crisis, as evidenced by the price and volatility spillovers from … the United States. In addition, HK''s equity returns have exhibited more significant price and volatility spillovers from … the United States than China''s returns, and past volatility shocks in the United States have a more persistent effect on …

volatility, which is important for proper credit risk assessment. Our analysis includes daily quotes of the iTraxx Europe index … spreads during the crisis and spread changes significantly and positively lead changes in equity market volatility. Hence …

This paper examines the effects of persistence, asymmetry, and the US Sub-prime Mortgage crisis on the volatility of … the returns and also the linkages and causality between the spot and futures volatility by using various classes of the … distributions. The magnitude of the volatility in returns of the spot and the futures market are similar, and therefore there is no …