The purpose of this paper is to investigate the international information transmission of return and volatility … 14 years. In the majority of the markets under scrutiny, we provide evidence of direct volatility spillovers, running …, the volatility of the Asia-Pacific markets is becoming influenced more by the US market for the recent years. Secondly …

The fundamental aim of the paper is to analyze the presence and magnitude of the volatility transmissions in emerging … indicate that there exist significant volatility spillover effects for all five countries, though the spillovers are not …

volatility-spillover for the BRIC countries by using cointegration and the VECM-MGARCH technique. The results reveal that the oil … where it significantly affects the BRENT prices. In terms of shock transmission and volatility spillover, the relationship …

(with causal feedback), and that they affect the exchange rate volatility. Finally, with weekly data we highlight that the … euro/dollar volatility "Granger-cause" the rate of return on stocks. …

autoregressive conditional heteroskedasticity (GARCH) model. Trend and volatility are estimated jointly with the maximum likelihood …

the effects of oil price, external reserves and interest rate on exchange rate volatility in Nigeria using annual data … exchange rate volatility in Nigeria; which implies that exchange rate is susceptible to changes in oil price. The study … rate volatility significantly in Nigeria. …

This study investigates the return spillovers and volatility spillovers from developed markets (e.g., Europe, Japan and …

This study investigates the return spillovers and volatility spillovers from developed markets (e.g., Europe, Japan and …