Financial market spillovers around the globeThis paper investigates the transmission of return and volatility spillovers around the globe. It draws on index futures of three representative indices, namely the Dow Jones Euro Stoxx 50, the S&P 500 and the Nikkei 225. Devolatised returns and...

This paper proposes a simple framework to distinguish lagged effects (spillovers) from contemporaneous effects and to estimate their relative importance. We use an eclectic sample of assets from five different asset classes and find that spillovers have low explanatory power of returns and...

There is a large and growing literature on spillovers but no study that systematically evaluates the importance of spillovers for portfolio management. This paper provides such an analysis and demonstrates that spillovers are fully embedded in estimates of expected returns, variances, and...

There is a large and growing literature that studies return and volatility spillovers but there is no study that assesses the importance of these spillovers. This paper proposes a novel econometric framework to estimate the importance of spillovers in absolute and relative terms. We define...