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 …

In this paper, we introduce a volatility-based method for clustering analysis of financial time series. Using the … volatilities. The proposed method uses the volatility behavior of the time series and solves the problem of different lengths. As … North American markets, Japan and Australia seem to come closer. …

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 …

sector indices from April 2008 to August 2013. The relationship between volatility and information arrival was modelled using … TGARCH. The findings provide strong evidence for the validity of the MDH for the Saudi market. Volatility persistence …, interacting with volatility in a manner anticipated under the MDH. This can be attributed to unique characteristic of the Saudi …

the business cycle on the highfrequency volatility of the EUR/USD exchange rate. The results suggest that in general bad … news increases volatility more than good news. The news effects also depend on the state of the economy: bad news increases … volatility more in good times than in bad times, while there is no difference between the volatility effects of good news in bad …

This paper identifies the best models for forecasting the volatility of daily exchange returns of developing countries …

outflows from/to major investors such as the United States, United Kingdom, Singapore and Hong Kong using quarterly data …