Utilizing multivariate GARCH framework, this study finds that generally the US Information Technology (IT) market contributes a strong volatility rather than mean spillover effect to non-US IT markets, implying that the US IT market plays a dominant role in affecting the volatility of world IT...

This study investigates the linearity and stationarity properties of government bond returns for the G7 economies. Our results from Luukkonen et al. (1988) linearity test reveal the nonlinear nature of all of the G7 bond returns. Furthermore, we had determined that they are stationary by the...