contracts. The implications of these results for hedging and forecasting crude oil spot prices are also discussed. …

reaction has increased during the recent financial crisis. News volatility has a significant impact on yield spread volatility …

framework is suitable to analyse both mean and volatility spillovers, and also allows for possible parameter shifts resulting … food crisis and 2008 financial crisis leading to the most significant shifts in the (volatility) spillovers between the …

(fall) and liquidity falls (increases) buy (sell) orders tend to prevail. Risk-averse market-makers, with inventory …-depletion risk being their main concern, tend to quote wider (narrower) spreads when they think bond appreciation is more (less … characteristics, stock market volatility, macroeconomic releases and liquidity management operations of the monetary authorities. …

. Bivariate GARCH-BEKK models are estimated producing evidence of unidirectional spillovers from stock returns to exchange rate … Switzerland. Furthermore, causality-in-variance from stock returns to exchange rates changes is found in Japan and in the opposite …

. Positive (negative) news have significant positive (negative) effects on stock returns in all cases. Their volatility has a … significant impact on both stock returns and volatility; specifically, an increase in news volatility is always associated with a …This paper analyses the effects of newspaper coverage of macro news on stock returns in eight countries belonging to …

This paper applies the Phillips and Sul (2007) method to test for convergence in stock returns to an extensive dataset …

volatility (d = 0.80) is also confirmed. …