generalized Factor-Augmented-VAR(FAVAR) model with time-varying parameters and stochastic volatility. Specifically, we employ the … the more general model with time-varying parameters and stochastic volatility …

We identify networks of volatility spillovers and examine time-varying spillover intensities with daily implied … unconventional monetary policy to volatility spillovers and potential global systemic risk … volatility spillover network and its volatility spillover to other markets has intensified since 2008. Moreover, US quantitative …

relationships remain poorly understood. In this paper, we quantify the heterogeneous return spillovers from the oil market to other … the effect of quantitative easing in the U.S. The main empirical results are as follows. First, the return spillovers from … of these spillovers being driven by various frequencies (short-term to long-term). Second, quantitative easing has …

from 1980-2012. Comparatively, the attempts made by previous studies to examine spillovers generally lacked a long …

surprise tends to affect the return and volatility of the Thai baht. In the full sample, a 1% unexpected increase in the policy …