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 …

This study focuses on the diversification benefits of the most developed equity markets of Central and Eastern Europe … our case the returns of CEE equity markets) can be mimicked by the returns of some benchmark assets. If this is possible …

the Bank of England, the Federal Reserve Bank and the European Central Bank systematically respond to an increase of the … implicit volatility by a decrease in the interest rate. We take our results as strong evidence that central banks use interest …

We use volatility impulse response analysis estimated from the bivariate GARCH-BEKK model to quantify the size and the … persistence of different types of oil price shocks on stock return volatility and the covariance between oil price changes and …

-varying correlation ; regime transition ; multivariate GARCH ; smooth transition ; cross-asset correlation ; non-linear estimation …