in terms of stock returns and stock price volatility. Granger causality tests show the presence of bidirectional … causality for returns as well as volatility series. The results based on a VAR framework indicate a more limited number of short …

has on the next day returns in other markets. We quantify the sources of volatility transmission as price changes and … are tend to be transmitted more through noise than price changes though volatility transmission between Germany, Europe …

We characterize the price discovery in three emerging EU stock markets — the Czech Republic, Hungary, and Poland — by … the volatility of the returns accounting for intra-day movements and day-of-the-week effects. Our findings show that real … are driven by differences in key market participants. Volatility of the returns is accounted for at the beginning and end …

aggregate shocks. Volatility spillovers proved to be small and volatile. …

- 2013. The econometric analysis is based on the estimation of a VAR-GARCH-in-mean model. The results can be summarised as … follows. Positive (negative) news have significant positive (negative) effects on stock returns in all cases. Their volatility … has a significant impact on both stock returns and volatility; specifically, an increase in news volatility is always …

-2013. The econometric analysis is based on the estimation of a VAR-GARCH-in-mean model. The results can be summarised as follows …. Positive (negative) news have significant positive (negative) effects on stock returns in all cases. Their volatility has a … significant impact on both stock returns and volatility; specifically, an increase in news volatility is always associated with a …

estimation of a VAR-GARCH model. The results can be summarized as follows. Negative news have significant positive effects on … reaction has increased during the recent financial crisis. News volatility has a significant impact on yield spread volatility …

estimation of a VAR-GARCH model. The results can be summarised as follows. Negative news have significant positive effects on … reaction has increased during the recent financial crisis. News volatility has a significant impact on yield spread volatility …