construct non-capital (idiosyncratic) shocks, using labor productivity shocks to large firms. We document a change in the …

spillovers in ASEAN-4 bond markets and identify the potential economic and financial fundamentals driving uncertainty spillovers …

currencies. In this framework, we focus on the risk spillovers across equities within the same sector (sector spillover), and … from currencies to international equities (currency spillover). We compare these specific risk spillovers to a more general … shows that considering only sector- and currency-risk spillovers, rather than full spillovers, improves performance, both in …

not only explain future volatility of a time series on its own past, but allow for external influences and spillovers …

announcement of Brexit. In addition, we show that the great uncertainty over Brexit generates significant risk spillovers across …

This paper studies the return and volatility spillovers between the stock market, the Exchange Fund Notes market and …, however, most of these spillovers are minimal. When financial markets are turbulent, the return spillover from the forward …