The purpose of this study is in three folds. First we look at the linkage between Eastern European emerging equity markets and Russia, second we investigate the relationship among the currency markets of Poland, Hungry, Russia and Czech Republic. Finally, we examine the interdependence between...

Using high frequency data, this paper examines the long memory property in the conditional volatility of the precious metals return series at different time frequencies using FIGARCH models. Very significant long memory characteristics have been detected in absolute returns by using...

This study considers the linkage of the Russian equity market to the world market, examining the international transmission of the Russia's 1998 financial crisis utilizing the GARCH-BEKK model proposed by Engle and Kroner (1995). We find evidence of direct linkage between the Russian equity...