This paper examines the effects of climate policies and energy shocks on mean and volatility spillovers between green … recent years, they have offered higher returns and lower volatility. …

This paper examines mean and volatility spillovers between four green municipal bonds issued by the US states of … respectively. Specifically, four-variate VAR-GARCH-BEKK models are estimated which include suitably defined dummies corresponding …

stock market returns. This paper analyses it using US monthly data over the period 2000:1-2015:08. A VAR-GARCH(1,1)-in … post-September 2008 period. There are also volatility spillovers from stock market returns to equity fund flows both before …

In this paper we model the volatility of the spread between the overnight interest rate and the central bank policy … 2007. During the crisis, the policy spread exhibited signs of volatility, owing to the breakdown in interbank market … activity. The determinants of this volatility are assessed using Stochastic Volatility models to gauge the role played by …

ten sectoral indices over the period January 1997 - Febraury 2014. The estimation of a bivariate VAR-GARCH-in-mean model … suggests that oil price volatility affects stock returns positively during periods characterised by demand-side shocks in all …

estimation of a VAR-GARCH model. The results can be summarized as follows. Negative news have significant positive effects on … reaction has increased during the recent financial crisis. News volatility has a significant impact on yield spread volatility …

- 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 …

This paper estimates a bivariate VAR-GARCH(1,1) model to examine linkages between food and energy prices. The adopted … 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 …

This paper examines volatility spillovers from mature to emerging stock markets and tests for changes in the …. -- Volatility spillovers ; contagion ; stock markets ; emerging markets …