updating the concept of ‘volatility surprise’ to capture cross-market relationships. Current methods for measuring spillovers … do not focus on volatility interactions, and neglect cross-effects between the conditional variances. This paper aims to … commodities from 1983 to 2013. The results provide strong evidence of spillover effects coming from the ‘volatility surprise …

Africa, Spain and Venezuela. We find that in all four countries reported initial income and job changes of the head are …

We analyze household income dynamics using longitudinal data from Indonesia, South Africa (KwaZulu-Natal), Spain and …

equipment in two countries, one with a big conversion rate (Spain), and one with a small conversion rate (Germany). Observes a …, as this effect is not observed in Spain, concludes that a positive relationship between money illusion and conversion …

stock exchange market. We analyze the impact of such halts on the main market factors: return, volatility and volume. Our …

information and volatility and to allow the emergence of a consensus. The use of these interruptions is very frequent on the … capitalizations. However, our empirical study emphasizes an inefficiency of the reservations of quotation. Indeed, the volatility of …

This article advocates a systematic rebalancing process –Volatility-Driven Asset Allocation or VDAA – for dynamically … the global volatility of the portfolio by decreasing exposure in asset classes yielding temporarily higher risk …