and bond flows, as well as the dynamic linkages between exchange rate volatility and the variability of these two types of … activities to maximise returns and minimise exposure to uncertainty. Furthermore, since exchange rate volatility and the …

. -- Cointegration ; oil market ; futures prices ; price discovery …

period 1966-2009 using fractional integration and cointegration techniques. The degree of integration and nonlinearity of … both series are found to vary considerably across states, whilst the fractional cointegration analysis suggests that a long …

fractional integration and fractional cointegration techniques. These methods are more general and have higher power than the … both the S&P 500 Index and the Euro Stoxx 50 Index. Also, fractional cointegration appears to hold at least for the … diverging growth and monetary policy. Establishing whether the degree of cointegration has changed over time is important since …

rates ; Causality-in-variance ; Cointegration …

the US, the Eurozone, Australia, Canada, Japan and the UK using fractional integration and cointegration techniques …

, volatility, and cross-market GARCH-in-mean effects. Hypotheses about the importance of different channels are tested. The results … dominating in Asia, and regional spillovers in Latin America and the Middle East. -- Volatility spillovers ; contagion ; stock …

data ; long memory ; volatility persistence ; structural breaks …

suggests that oil price volatility affects stock returns positively during periods characterised by demand-side shocks in all …