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...

This paper analyzes the relationships between local and global securitized real estate markets, but also between securitized real estate and common stock markets. First, the volatility transmissions across markets are examined using an asymmetric t-BEKK (Baba-Engle-Kraft-Kroner) specification of...

Crude oil and precious metals, silver and especially gold, prices have been more volatile in the recent years. Investors and speculators such as investment banks, hedge funds, mutual funds, etc. pay close attention to the price and volatility of these commodities. The daily returns of Brent,...

This paper examines the existence of dynamic spillover effects across petroleum based commodities and among spot-futures volatilities, trading volume and open interest. Realized volatilities of spot-futures markets are used as inputs to estimate a VAR model following (Diebold and Yilmaz, 2015,...

This study sets out to provide fresh evidence on the dynamic interrelationships, at both return and volatility levels, between global equity, gold, and energy markets prior to and during the outbreak of the novel coronavirus. We undertake our analysis within a bivariate GARCH(p, q) framework,...

Volatility spillover among major equity markets has long fascinated academicians and researchers alike. This paper presents an elaborate survey and analysis of the literature on the subject. Review of extant studies on various basis such as markets studied, methodology employed, among others has...

This paper approaches the volatility transmission from the New York Stock Exchange to an emerging market, Bucharest Stock Exchange. In our investigation we employ daily values of Standard and Poor 500 Index from New York Stock Exchange and of six main indexes from Bucharest Stock Exchange. The...

This study investigates return and asymmetric volatility spillovers and dynamic correlations between the main and small and medium-sized enterprise (SME) stock markets in Saudi Arabia and Egypt for the periods before and during the COVID-19 pandemic. Return and volatility spillovers are modelled...

This study examines the existence, magnitude and direction of volatility spillovers between the Sri Lankan stock market and two other major stock markets in the South Asian region: India and Pakistan. Main stock indices of Sri Lanka, India, and Pakistan are employed as proxies to represent stock...