is correlated across countries with lower average stock market volatility, crises are more frequent in countries with …

Data show that better creditor protection is correlated across countries with lower average stock market volatility …

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

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

Russia. The adopted framework allows to analyse interdependence by estimating volatility spillovers, and also contagion by … testing for possible shifts in the transmission of volatility following the introduction of the euro and EU accession. Further …. Furthermore, whilst the introduction of the euro has had mixed effects, EU accession has resulted in an increase in volatility …

)variances of the US Dow Jones and the German stock index DAX, we analyze intra-daily volatility spillovers between the US and …-synchronous and partially overlapping opening hours of the two markets. We find evidence of significant short-term volatility …-term volatility shocks is considerably higher and the spillovers effects between the US and the German stock markets are significantly …

reveals no major importance of the bank balance sheet channel for the relationship between stock market volatility and …

variable ordering, we propose measures of both total and directional volatility spillovers. We use our methods to characterize … daily volatility spillovers across U.S. stock, bond, foreign exchange and commodities markets, from January 1999 through … September 2009. We show that despite significant volatility fluctuations in all four markets during the sample, cross …

We investigate the predictability of both volatility and volume for a large sample of Japanese stocks. The particular … practically always improves upon the na?ve forecast provided by historical volatility. As a somewhat surprising result, we also …

We investigate the predictability of both volatility and volume for a large sample of Japanese stocks. The particular … practically always improves upon the na?ve forecast provided by historical volatility. As a somewhat surprising result, we also …