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

-2013. The econometric analysis is based on the estimation of a VAR-GARCH-in-mean model. The results can be summarised as follows …. Positive (negative) news have significant positive (negative) effects on stock returns in all cases. Their volatility has a … significant impact on both stock returns and volatility; specifically, an increase in news volatility is always associated with a …

framework is suitable to analyse both mean and volatility spillovers, and also allows for possible parameter shifts resulting … food crisis and 2008 financial crisis leading to the most significant shifts in the (volatility) spillovers between the …

Gold and Silver. Volatility spillovers are bigger in size and affect most commodity returns. Both first and second moment … financial assets, are sensitive to macro news (especially their volatility), and also suggest that the global financial crisis …

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 …

with higher growth, lower growth volatility, and lower probabilities of severe declines in real activity. Advances in …