, this paper seeks to analyze volatility spillover, co-movements, independence and contagion in the Chinese, Japanese …It has been established in the literature that volatility of stock returns exhibits complex properties of not only … volatility clustering, but also long memory, regime change, and substantial outliers during turbulent and calm periods. Hence …

this crisis. During the Irish financial crisis from 2007 to 2010, strong contagion effects are uncovered between Irish … equity markets and the investigated European equity markets. The contagion effects are found to ease dramatically in the … intervention as a mechanism to mitigate and absorb contagion associated with state-specific financial crises and if possible …

assessment of the dynamic correlation analysis of financial contagion with evidence from (5) African countries (South African … variance estimation shows that the crisis period is characterized by substantial increases in volatility, establishing that the … crisis period, an increase in correlation (contagion) existed, while a continued correlation (herding) existed in the post …

Russia. The adopted framework allows to analyse interdependence by estimating volatility spillovers, and also contagion by …) ; volatility spillovers ; interdependence ; contagion ; VAR-GARCH-in-mean model … testing for possible shifts in the transmission of volatility following the introduction of the euro and EU accession. Further …

Russia. The adopted framework allows to analyse interdependence by estimating volatility spillovers, and also contagion by … testing for possible shifts in the transmission of volatility following the introduction of the euro and EU accession. Further … evidence on possible changes in the transmission mechanism (namely, on whether there is contagion) can be obtained by examining …