autoregression, we derive return and volatility spillover indices over the rolling sub-sample windows. We show that there is … substantial difference between the behavior of the East Asian return and volatility spillover indices over time. While the return … spillover index reveals increased integration among the East Asian equity markets, the volatility spillover index experiences …

interventions confirms these results and the hedging channel. However, the policy entails fiscal and moral hazard costs. …

point with a simple quantitative hedging model, where optimally used options and futures on the S&P100's implied volatility … seldom sufficient and always expensive to hold. In this paper we argue that adding richer hedging instruments to the …

This paper analyzes the relation between exchange rate volatility and several macroeconomic variables, namely real per … find that lower exchange rate volatility is associated with higher growth (for relatively less financially developed …

their volatility, than do ECB verbal pronouncements. …

describe the most typical features of capital markets like volatility clustering, excess kurtosis and fat tails. As empirical … evidence shows asymmetry is also a prominent feature of stock market returns volatility. The reaction of risk if stock returns …