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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/10003963822

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

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

Is market fear persistent? : a long-memory analysis

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - In: Finance research letters 27 (2018), pp. 140-147

Persistent link: https://www.econbiz.de/10012006763

Macro news and exchange rates in the BRICS

Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - In: Finance research letters 21 (2017), pp. 140-143

Persistent link: https://www.econbiz.de/10011807527

Volatility persistence in the Russian stock market

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - In: Finance research letters 32 (2020), pp. 1-8

Persistent link: https://www.econbiz.de/10012430826