This paper examines mean and volatility spillovers between three major cryptocurrencies (Bitcoin, Litecoin and Ethereum …

dominating in Asia, and regional spillovers in Latin America and the Middle East. -- volatility spillovers ; contagion ; stock …This paper examines global (mature market) and regional (emerging market) spillovers in local emerging stock markets … America, and the Middle East. The models capture a range of possible transmission channels: spillovers in mean returns …

dominating in Asia, and regional spillovers in Latin America and the Middle East. -- Volatility spillovers ; contagion ; stock …This paper examines global (mature market) and regional (emerging market) spillovers in local emerging stock markets … America, and the Middle East. The models capture a range of possible transmission channels: spillovers in mean returns …

03/1/2000- 12/5/2013. The estimated VAR-GARCH(1,1) model allows for both mean and volatility spillovers and for the … evidence of significant spillovers, whose strength appears to have increased during the crisis. Further, given the increasingly …

03/1/2000-12/5/2013. The estimated VAR-GARCH(1,1) model allows for both mean and volatility spillovers and for the … evidence of significant spillovers, whose strength appears to have increased during the crisis. Further, given the increasingly …

Gold and Silver. Volatility spillovers are bigger in size and affect most commodity returns. Both first and second moment … can be summarised as follows. Mean spillovers running from news to commodity returns are positive with the exception of … financial assets, are sensitive to macro news (especially their volatility), and also suggest that the global financial crisis …

Gold and Silver. Volatility spillovers are bigger in size and affect most commodity returns. Both firstand second moment … can be summarised as follows. Mean spillovers running from news to commodity returns are positive with the exception of … financial assets, are sensitive to macro news (especially their volatility), and also suggest that the global financial crisis …

This paper uses a VAR-GARCH(1,1) model to analyse mean and volatility spillovers between macro news (in the form of …

This paper uses a VAR-GARCH(1,1) model to analyse mean and volatility spillovers between macro news (in the form of …

Gold and Silver. Volatility spillovers are bigger in size and affect most commodity returns. Both first and second moment … can be summarised as follows. Mean spillovers running from news to commodity returns are positive with the exception of … financial assets, are sensitive to macro news (especially their volatility), and also suggest that the global financial crisis …