framework is a bivariate volatility model, where volatility spillovers of either positive or negative sign are allowed for. Our … countries. Regarding the volatility spillovers, such spillovers from bond returns to those of stocks are stronger than the other … results show that by considering time-varying return and volatility spillovers when calculating the risk-minimising portfolio …

endogenously formed interbank networks, however, less informative signals lead to higher network density and less synchronization …

of high volatility compared to periods of low volatility, using a regime-switching vector autoregression. The lower … that is weaker in high volatility periods. To rationalize our robust empirical results, we use a macroeconomic model in … volatility of aggregate shocks. In low volatility periods, banks lever up, which makes their balance sheets more sensitive to …

positively related to past returns and past volatility, whereas herding on the buy side is negatively related to these variables …This paper sheds new light on herding of institutional investors by using a unique database that identifies every … transaction made by financial institutions in the German stock market. First, the analysis reveals that herding behavior of …

implicit volatility by a decrease in the interest rate. We take our results as strong evidence that central banks use interest …