In this paper, we have examined stock market linkages between Greater China and the US and Japan in terms of volatility and price spillovers, yielding a few findings, with most of them either offering new evidence or challenging the results in the previous research, and the rest consolidating...

This study applies the time-varying volatility model to UK GDP deflators and compares it with the traditional inflation uncertainty measurement of relative price variability. The link between relative price variability and time-varying volatility is studied and established. Moreover, inflation...

This study investigates the risk transmission between the spot and forward foreign exchange markets. In particular, the effect of innovation basis and signs of shocks in both markets are assessed. The market is less predictable when the spot and forward markets have experienced shocks of...

The paper analyses asymmetry in return reversals and in time-varying volatilities and their interactions using daily returns on the Shanghai Stock Exchange and Shenzhen Stock Exchange. It is concluded that asymmetry in volatilities arises from unconfirmed asymmetry in return reversals, or...