dynamics of CDS volatility spillover effects surrounding the UK's EU membership referendum commonly known as "Brexit". Using a … the underlined CDS. In particular, we find that UK, Italy and Spain are the "net volatility transmitters", while France … and Germany seem the "net volatility receivers". Our findings may help in formulating appropriate regulatory policies and …

The paper investigates the effects of oil price shocks on stock market volatility in Europe by focusing on three … measures of volatility, i.e. the conditional, the realised and the implied volatility. The findings suggest that supply …-side shocks and oil specific demand shocks do not affect volatility, whereas, oil price changes due to aggregate demand shocks …

This paper studies the intraday volatility of European government bonds under the framework of the multiplicative … component GARCH model (Engle and Sokalska, 2012). Intraday return volatility is specified as the product of daily volatility … debt crisis. We observe large transitory intraday volatility often due to illiquidity effects and outliers. We suggest a …

We analyze comovements among three stock markets in Central and Eastern Europe and, in addition, interdependence which … 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 …