This article employs the lag-augmented VAR (LA-VAR) approach developed by Toda and Yamamoto (1995) to analyze the transmission of stock indices among the European PIIGS (Portugal, Ireland, Italy, Greece and Spain), Germany and the UK before and during the European sovereign debt crisis. The...

This article examines the dynamic relationship between two key European short-term interest rates, the Eonia rate (EON) and the 3-month Euribor rate (ER3). Applying a threshold cointegration method developed by Hansen and Seo (2002) to monthly data over the period 1999 to 2011, we confirm that...

In this paper, we examine the relationship among real oil prices, global economic activity, real value of the US dollar, and real interest rates during the period 1988:1 to 2011:12. We employ the Gregory and Hansen (1996) cointegration test with structural breaks to investigate the long-run...

This paper adopts a multivariate asymmetric dynamic conditional correlation GARCH model to examine the interdependence of US dollar (USD) exchange rates expressed in euro (EUR), British pound (GBP), and Swiss franc (CHF). The effect of Europe's recent financial turmoil on these dynamic...

By employing the robust cross-correlation function approach proposed by Hong (2001), and conducting pre-tests for structural breaks in the variances as well as removing the causality-in-mean effects in the causality-in-variance tests, we investigate volatility and mean transmissions between the...

Using the causality-in-variance and causality-in-mean tests advocated by Hong (2001), we examine volatility and mean transmissions between the US dollar (USD) and euro (EUR) LIBOR-OIS spreads from January 2005 to June 2011. Interestingly, during the global financial crisis period, despite the...

This paper adopts the robust cross-correlation function methodology developed by Hong (J Econom 103:183–224, <CitationRef CitationID="CR14">2001</CitationRef>) in order to test for volatility and mean spillovers between Greek long-term government bond yields and the banking sector stock returns of four Southern European countries, namely...</citationref>

This article investigates volatility changes in the 10-year Greek sovereign bond index returns using the multiple structural break test developed by Bai and Perron (Econometrica 66:47–78, <CitationRef CitationID="CR1">1998</CitationRef>, J Appl Econ 18:1–22, <CitationRef CitationID="CR2">2003</CitationRef>), which allows for endogenous identification of break dates. We find...</citationref></citationref>

Using the asymmetric dynamic conditional correlation (A-DCC) model developed by Cappiello et al. (2006), this paper empirically analyzes the conditional correlation between treasury and swap markets from February 9, 2006 to May 31, 2011, and makes two key contributions. First, the dynamics of...

This study assesses the dependence structure of insurance sector credit default swap indices, using a copula-GARCH approach. We use daily data of the US, EU, and UK insurance sectors, covering the period from January 2004 to June 2013. We find substantial increases in dependence during the...