and small firms have relatively higher growth spillover effects …

formulate and examine precise and separate measures of return spillovers and volatility spillovers. Our framework facilitates … evidence of divergent behavior in the dynamics of return spillovers vs. volatility spillovers: Return spillovers display a … gently increasing trend but no bursts, whereas volatility spillovers display no trend but clear bursts …

Current debates on globalization have tended to focus on financial market volatility and contagion. In fact, many … even eliminate spillover across emerging market. Although this has been an old concern among developing economies, it has … whether there has been volatility contagion from Mexico to the two South American nations. The results obtained from the …

Recently there has been a great deal of interest in modeling volatility fluctuations. ARCH models, for example, provide … parsimonious approximations to volatility dynamics. Here we provide a selective amount of certain aspects of conditional volatility …