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Volatility spillovers and contagion from mature to emerging stock markets

Beirne, John; Caporale, Guglielmo Maria; … - 2009

This paper models volatility spillovers from mature to emerging stock markets, tests for changes in the transmission mechanism during turbulences in mature markets, and examines the implications for conditional correlations between mature and emerging market returns. Tri-variate GARCH-BEKK...

Persistent link: https://www.econbiz.de/10011605159

Volatility spillovers and contagion from mature to emerging stock markets

Beirne, John; Caporale, Guglielmo Maria; … - 2008

Persistent link: https://www.econbiz.de/10003821913

Long memory and fractional integration in high frequency data on the US dollar/British pound spot exchange rate

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - In: International review of financial analysis 29 (2013), pp. 1-9

Persistent link: https://www.econbiz.de/10010244148

Fiscal shocks and real exchange rate dynamics : some evidence for Latin America

Caporale, Guglielmo Maria; Ciferri, Davide; Girardi, … - In: Journal of international money and finance 30 (2011) 5, pp. 709-723

Persistent link: https://www.econbiz.de/10009268779

Exchange rate uncertainty and international portfolio flows : a multivariate GARCH-in-mean approach

Caporale, Guglielmo Maria; Ali, Faek Menla; Spagnolo, Nicola - In: Journal of international money and finance 54 (2015), pp. 70-92

Persistent link: https://www.econbiz.de/10011476078

Volatility Spillovers and Contagion from Mature to Emerging Stock Markets

Beirne, John - 2009

Persistent link: https://www.econbiz.de/10013154956

Macro news and stock returns in the Euro area : a VAR-GARCH-in-mean analysis

Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - In: International review of financial analysis 45 (2016), pp. 180-188

Persistent link: https://www.econbiz.de/10011581967

International portfolio flows and exchange rate volatility in emerging Asian markets

Caporale, Guglielmo Maria; Ali, Faek Menla; Spagnolo, Fabio - In: Journal of international money and finance 76 (2017), pp. 1-15

Persistent link: https://www.econbiz.de/10011788040