This study employs the connectedness measure of Diebold and Yilmaz (2012, 2014) to examine the intensity of … connectedness among the Nigerian financial markets for the period January 2000 to December 2018. The study used all shares index …, respectively. The study found connectedness among the Nigerian financial markets to be highly time-varying and appear to be higher …

The paper considers the problem as to whether financial returns have a common volatility process in the framework of … stochastic volatility models that were suggested by Harvey et al. (1994). We propose a stochastic volatility version of the ARCH … test proposed by Engle and Susmel (1993), who investigated whether international equity markets have a common volatility …

The 2008 global financial crisis provides us with a wide range of study fields on cross-asset contagion mechanisms in … increased significantly. Consequently, return and volatility spillovers became the most extensive channel for spreading out the …