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Volatility Spillovers and Contagion From Mature to Emerging Stock Markets

Caporale, Guglielmo Maria; Schulze-Ghattas, Marianne; … - International Monetary Fund (IMF) - 2008

This paper examines volatility spillovers from mature to emerging stock markets and tests for changes in the transmission mechanism-contagion-during turbulences in mature markets. Tri-variate GARCH-BEKK models of returns in global (mature), regional, and local markets are estimated for 41...

Persistent link: https://www.econbiz.de/10005825961

The seasonal cycle in the UK economy

Caporale, Guglielmo Maria - National Institute of Economic and Social Research

Persistent link: https://www.econbiz.de/10005609276

The EMS and price determination in Europe

Caporale, Guglielmo Maria - National Institute of Economic and Social Research

Persistent link: https://www.econbiz.de/10005641969

Nominal exchange rate regimes and the stochastic behaviour of real variables

Caporale, Guglielmo Maria; Pittis, Nikitas - National Institute of Economic and Social Research

Persistent link: https://www.econbiz.de/10005641995

Some stochastic implications of the Government's budget constraint: an empirical analysis

Caporale, Guglielmo Maria - National Institute of Economic and Social Research

Persistent link: https://www.econbiz.de/10005642031

Debt sustainability and monetary union

Caporale, Guglielmo Maria - National Institute of Economic and Social Research

Persistent link: https://www.econbiz.de/10005467224

Bubble finance and debt sustainability: a test of the government's intertemporal budget constraint

Caporale, Guglielmo Maria - National Institute of Economic and Social Research

Persistent link: https://www.econbiz.de/10005467239

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