(with causal feedback), and that they affect the exchange rate volatility. Finally, with weekly data we highlight that the … euro/dollar volatility "Granger-cause" the rate of return on stocks. …

volatility-spillover for the BRIC countries by using cointegration and the VECM-MGARCH technique. The results reveal that the oil … where it significantly affects the BRENT prices. In terms of shock transmission and volatility spillover, the relationship …

The purpose of this paper is to investigate the volatility impacts of the suspension of a call auction system by the … volatility on NSE is compared with that of the Bombay Stock Exchange using two volatility proxies: modulus of log returns and … scaled intra-day price difference. We also focus on conditional volatility by estimating an AGARCH model on seasonally …

volatility for 32 indexes from advanced and emerging markets. We analyze this seasonality for two periods of time: a relative …-GARCH model allows us to identify, for the two periods, various forms of day of the week effects in returns and volatility … radical decline occurred for the day of the week effects in volatility. In the case of indexes from the emerging markets, the …

International capital markets tend to be characterized by volatility, which is always a function of world economic and … Exchange was different during the crisis and after the crisis and how the volatility of the Romanian market changed in the post …

study, we use a newly introduced spillover index to examine dynamic spillovers between spot and futures market volatility … and UK. Specifically, the spot and futures volatility spillovers between the UK and US markets are of bidirectional nature …

of bankruptcies. In this framework, we find that stock market volatility may damage the real economy if the stock market … is too relevant. In particular, an increase of volatility worsens the economic performance through the stock market …

return volatility. Besides, the increases in the STT rate have mixed effects on market efficiency, either improving or …

volatility for a sample of both net oil-exporting and net oil-importing countries between 1995:09 and 2013:07. We accomplish that …. The results for both stock market returns and volatility suggest that spillover effects vary across different time periods …