This paper examines global (mature market) and regional (emerging market) spillovers inlocal emerging stock markets. Tri-variate VAR GARCH(1,1)-in-mean models are estimatedfor 41 emerging market economies (EMEs) in Asia, Europe, Latin America, and the MiddleEast. The models capture a range of...

This paper discusses the volatility spillover effects in agricultural commodity markets, via studying implied volatilities derived from nearby options contracts. Using weekly averaged data from corn and soybean markets after 2003, a vector autoregressive (VAR) model is estimated, and impulse...

Forecasting is a necessity almost in any operation. However, the tools of forecasting are still primitive in viewof the great strides made by research and the increasing abundance of data made possible by automatic identificationtechnologies, such as radio frequency identification (RFID). The...

This thesis presents a collection of papers that has been published, accepted or submitted for publication. They assess price, volatility and market relationships in the five regional electricity markets in the Australian National Electricity Market (NEM): namely, New South Wales (NSW),...

This paper examines the transmission of spot electricity prices and price volatility among the five regional electricity markets in the Australian National Electricity Market (NEM): namely, New South Wales (NSW), Queensland (QLD), South Australia (SA), the Snowy Mountains Hydroelectric Scheme...

In this paper we examine the sensitivity of stock returns to market, interest rate, and exchange rate risk in three financial sectors (Banking, Financial Services and Insurance) in 16 countries, including various European economies, the US and Japan. We also test for the presence of...

In this paper, we propose a multivariate GARCH model with a time-varying conditional correlation structure. The new double smooth transition conditional correlation (DSTCC) GARCH model extends the smooth transition conditional correlation (STCC) GARCH model of Silvennoinen and Ter?svirta (2005)...

The authors propose a simplified multivariate GARCH (generalized autoregressive conditional heteroscedasticity) model (the S-GARCH model), which involves the estimation of only univariate GARCH models, both for the individual return series and for the sum and difference of each pair of series....

Recent trends of globalization and financial market internationalization have exposed the vulnerability of many emerging financial markets to external shocks and spillover effects from regional crisis. It is believed that similar spillover effects were the root cause of the 1997 financial crisis...

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