, volatility, and cross-market GARCH-in-mean effects. Hypotheses about the importance of different channels are tested. The results …

This paper models volatility spillovers from mature to emerging stock markets, tests for changes in the transmission … estimated for 41 emerging market economies (EMEs). Wald tests suggest that mature market volatility affects conditional … variances in local markets rise as well, volatility in mature markets rises more, and this shift is the main factor behind the …

, volatility, and cross-market GARCH-in-mean effects. Hypotheses about the importance of different channels are tested. The results …

In this paper we model the volatility of the spread between the overnight interest rate and the central bank policy … 2007. During the crisis, the policy spread exhibited signs of volatility, owing to the breakdown in interbank market … activity. The determinants of this volatility are assessed using Stochastic Volatility models to gauge the role played by …

Gold and Silver. Volatility spillovers are bigger in size and affect most commodity returns. Both first and second moment … financial assets, are sensitive to macro news (especially their volatility), and also suggest that the global financial crisis …