countries. Regarding the volatility spillovers, such spillovers from bond returns to those of stocks are stronger than the other …This paper investigates the dynamic linkages in terms of the first and second moments between stock and bond returns … framework is a bivariate volatility model, where volatility spillovers of either positive or negative sign are allowed for. Our …

countries. Regarding the volatility spillovers, such spillovers from bond returns to those of stocks are stronger than the other …This paper investigates the dynamic linkages in terms of the first and second moments between stock and bond returns … framework is a bivariate volatility model, where volatility spillovers of either positive or negative sign are allowed for. Our …

in specific correlation dynamics. A strong implication emerges: during the period under research, and from a different …

-return relationship identified by Bali, Demirtas, and Levy (2009) is highly significant in the low volatility state but disappears during … show that the absence of the risk-return relationship in the high-volatility state is due to leverage and volatility … feedback effects arising from increased persistence in volatility. To better filter out these effects, we propose a simple …

This paper investigates the role of volatility risk on stock return predictability specified on two global financial … volatility forecasting measures on future stock returns in four different periods (bear and bull markets). First we find clear … and robust empirical evidence that the implied idiosyncratic volatility is the best stock return predictor for every sub …

markets from shock and volatility spillovers in mature markets is real. Although emerging Asian local bond market volatilities …This paper employs multivariate GARCH models with a BEKK specification to show significant shock and volatility … spillovers from mature bond markets into select emerging Asian local currency bond markets. Results reveal that while the growth …

Islāmic bonds. We apply twelve six variate dynamic conditional correlation (DCC) FIGARCH models in order to capture potential … investigation period regarding the twelve six variate models, showing potential volatility transmission channels among the markets …