This paper estimates a tri-variate VAR-GARCH(1,1)-in-mean model to examine linkages between the stock markets of three … 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 …

. Tri-variate VAR GARCH(1,1)-in-mean models are estimated for 41 emerging market economies (EMEs) in Asia, Europe, Latin …, volatility, and cross-market GARCH-in-mean effects. Hypotheses about the importance of different channels are tested. The results … crossmarket linkages varies across countries and regions. While spillovers in mean returns dominate in emerging Asia and Latin …

market structure for cross-country relative price variability. It is found that, in accordance with predictions from a … standard markup pricing model, reductions in market competition, along with increased nominal exchange rate volatility, are … of cross-country relative price variability. The empirical findings are robust to the inclusion of various control …

return correlations using weekly returns on futures markets and investigate the extent to which multivariate volatility …

ARCH modelling framework of Engle (1982) and its GARCH generalization of Bollerslev (1986) gave a huge impetus to … describe the most typical features of capital markets like volatility clustering, excess kurtosis and fat tails. As empirical … evidence shows asymmetry is also a prominent feature of stock market returns volatility. The reaction of risk if stock returns …

We study how mandatory online disclosure of supermarket prices affects prices and price dispersion in brick … in price dispersion and a 4% to 5% drop in prices following the transparency regulation. The price drop varied across …, we show that prices declined as more consumers used price-comparison websites, and we highlight the role of media …

price dynamics in the Asia-Pacific region … examine the evidence for cross-border price spillovers among economies participating in the pan-Asian cross-border production … networks. Starting with country-level data, we find that both producer price and consumer price inflation rates move more …

Engel and Rogers (1996) find that crossing the US-Canada border can considerably raise relative price volatility and …, this study shows that cross-country heterogeneity in price volatility can lead to significant bias in measuring the border … that exchange rate fluctuations explain about one-third of the volatility increase. In re-evaluating the border effect …

This paper aims to select the best model or set of models for modelling volatility of the four most popular … cryptocurrencies, i.e. Bitcoin, Ethereum, Ripple and Litecoin. More than 1,000 GARCH models are fitted to the log returns of the … well as using a Model Confidence Set (MCS) procedure for their loss functions. The results imply that using standard GARCH …

A growing literature uses changes in residual volatility for identifying structural shocks in vector autoregressive … in applications in this context. This study reviews the different volatility models and points out their advantages and …