estimation of the state vector and of the time-varying parameters. We use this method to study the time-varying relationship …

This paper models volatility spillovers from mature to emerging stock markets, tests for changes in the transmission … estimated for 41 emerging market economies (EMEs). Wald tests suggest that mature market volatility affects conditional … variances in local markets rise as well, volatility in mature markets rises more, and this shift is the main factor behind the …

We provide evidence that changes in the equity price and volatility of individual firms (measures that approximate the … fluctuations in a number of countries. Specifically, adding the return and the volatility of firm-level equity prices to aggregate …

speculative trading increases. As a result, market liquidity deteriorates and short-term volatility rises. Our findings hold for a …

left foreign exchange intervention unsterilized when Japan entered the liquidity trap in 1999. According to previous … volatility at the turn of the millennium when Japanese foreign exchange intervention started to remain unsterilized …

spot prices, although only in the short run. Moreover, financial activity appears to have exacerbated the volatility in the …

filtered using EGARCH specifications. The estimation results show that upgrades do not have significant effects on volatility …, but downgrades increase stock and bond market volatility. Contagion is present, with sovereign rating announcements … (increase) in volatility in other countries. The empirical results show also a financial gain and risk (value-at-risk) reduction …

role that EMU, and specifically, changes in exchange rate volatility, has played in this process of financial integration … towards EMU, and in particular the elimination of exchange rate volatility and uncertainty in the process of monetary …