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 …

affect local market volatility and, in rare instances, stock returns themselves. Negative news has a leverage effect for … emerging Eastern European stock markets, as greater volatility in the stock market is generated by negative news than by …

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 …

The present study addresses the economic interpretation of stock market volatility. We argue that its character is … volatility. This exploits the revealed reaction of investors to gauge the degree of information and uncertainty ascribed to … volatility. We estimate simultaneous timevarying coefficient models, using data of US and further stock markets. We find the …

Examinations of the dynamics of daily returns and volatility in stock markets of the US, Hong Kong and mainland China …

)variances of the Dow Jones and the German stock index DAX, we analyze intra-daily volatility spillovers between the US and German …-synchronous and partially overlapping opening hours of the two markets. We find evidence of significant short-term volatility … ('meteor-shower effects').Furthermore, we find that during the subprime crisis the general persistence of short-term volatility …

Information flows across international financial markets typically occur within hours, making volatility spillover … appear contemporaneous in daily data. Such simultaneous transmission of variances is featured by the stochastic volatility … solved by considering heteroscedasticity of the structural volatility innovations, and estimation takes place in an …