describe the most typical features of capital markets like volatility clustering, excess kurtosis and fat tails. As empirical … evidence shows asymmetry is also a prominent feature of stock market returns volatility. The reaction of risk if stock returns …

EGARCH model. Empirical results indicate significant return and volatility spillover effects during the full sample and the …-movements, and strong volatility persistence. During the Russian Great Recession subsample, the ownreturn effects of the markets are … partially integrated and the volatility transmission linkages across them are not that strong in crises periods, thus confirming …

model. Empirical results indicate significant return and volatility spillover effects during the full sample, the Russian … strong volatility persistence. During the Russian Great Recession subsample, the own-return effects of the markets are … partially integrated and the volatility transmission linkages across them are not that strong in crises periods, thus confirming …