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 …

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

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 …

activity. However, using U.S. data since 1950 we show that the macroeconomic response pattern to stock market volatility shocks … decomposition for consumption growth shows that the contribution of stock market volatility becomes negligible as we go from earlier … of stock market volatility …

across countries with lower average stock market volatility, crises are more frequent in countries with poor creditor …

Data show that better creditor protection is correlated across countries with lower average stock market volatility …

volatility spillovers during global financial crisis and tranquil periods. The resulting market interconnectedness is depicted by … between markets and somewhat weaker temporal effects with regard to the US equity market – volatility spillovers decrease when … markets are characterized by greater temporal proximity. Volatility spillovers also present a high degree of …

, volatility, and cross-market GARCH-in-mean effects. Hypotheses about the importance of different channels are tested. The results …. Tri-variate VAR GARCH(1,1)-in-mean models are estimated for 41 emerging market economies (EMEs) in Asia, Europe, Latin …-market GARCH-in-mean effects. The relative importance of regional and global spillovers varies too, with global spillovers …

suggests that a global bimetallic system, in which the gold price of silver uctuates, has higher price volatility than a global …