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 …

This paper deals with the issues of identification and estimation in the canonical model of contagion advanced in … in the paper. It is proved that neither identification nor Full Information Maximum Likelihood (FIML) estimation of the …

An important question in international finance is to what extent stock return volatility is influenced by country … low volatility states over the past 30 years, and show that the contribution of industry and country factors to stock … return volatility varies markedly across such states. In particular, we find that the country factor contribution drops …

its turn, this common factor might be traced back mainly to financial markets volatility. Due to the particularly benign …

common factor can be traced back mainly to financial market volatility. Once we have controlled for a set of idiosyncratic …