autoregression, we derive return and volatility spillover indices over the rolling sub-sample windows. We show that there is … substantial difference between the behavior of the East Asian return and volatility spillover indices over time. While the return … spillover index reveals increased integration among the East Asian equity markets, the volatility spillover index experiences …

depend not only on the level of the discount factor but also on its volatility. Collusive prices and proÞts increase with a … higher discount factor level, but decrease with its volatility. These results have important implications not only for the …

a modest impact on the conditional volatility of retail interest rates. Even for the US we find that the effects of …

Financial turmoil is becoming a fact of life in Latin America. The 1990s have been characterized by enormous volatility …

the sustainability of a given public debt/GDP depends on the future volatility of the difference between real interest …

neglected perspective that the vulnerabilities associated with a given public debt/GDP increase with the future volatility of …

In this paper, we examine the evolution of the S&P500 returns volatility around market crashes using a Markov …-Switching model. We find that volatility typically switches into the high volatility state well before a crash and remains in the high … volatility by uniformed traders result in a crash. …