This paper investigates the hedging effectiveness of time-varying hedge ratios in the agricultural commodities futures markets using four different versions of the GARCH models. The GARCH models applied are the standard bivariate GARCH, the bivariate BEKK GARCH, the bivariate GARCH-X and the...

This paper investigates the effect of bad or good news (asymmetric effect) on the time-varying betas of firms in the banking industries of the UK and the US during good periods (booms) and bad periods (recessions). Daily data from eleven UK and US firms of different sizes from the banking...

This paper empirically investigates return, volatility and leverage spillover effects between banking industrial stock markets of the major economies (ME) (Germany, UK and US) and the smaller stressed European Union countries (SE), (Italy, Ireland, Greece, Spain and Portugal) from 2002 to 2014...