Russia. The adopted framework allows to analyse interdependence by estimating volatility spillovers, and also contagion by … testing for possible shifts in the transmission of volatility following the introduction of the euro and EU accession. Further …. Furthermore, whilst the introduction of the euro has had mixed effects, EU accession has resulted in an increase in volatility …

benchmark linear VAR models and then, given the evidence of parameter instability, TVP-VAR models with stochastic volatility …

This paper analyses the impact of the Covid-19 pandemic on stock market returns and their volatility in the case of the … particularly severe Covid-19 conditions decrease returns in the non-G7 countries whilst increase volatility in the G7 ones. Fiscal …

What role do spillover effects play in firm resilience during crises? Using high-frequency data on over 7 million …

, volatility, and cross-market GARCH-in-mean effects. Hypotheses about the importance of different channels are tested. The results …

reforms which aim at opening these countries to trade and financial channels to the rest of the world. The estimation of time …

This paper examines the relationship between aggregate insider trading (AIT) and stock market volatility using monthly …-run increase in stock market volatility; this can be attributed to a combination of insiders manipulating the timing and content of …-regulated market, it is plausible that the main driver of the increase in stock market volatility should be the information effect …