Financial market spillovers around the globeThis paper investigates the transmission of return and volatility spillovers around the globe. It draws on index futures of three representative indices, namely the Dow Jones Euro Stoxx 50, the S&P 500 and the Nikkei 225. Devolatised returns and...

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Unobserved random heterogeneity plays a central role in many socio-economic studies based upon panel data. When jointly present across individual units and over time its treatment requires (very) high-dimensional integrations which are analytically intractable in non-linear models and,...