Given the rapidly evolving nature of financial globalization, this paper models and predicts financial integration in a changing world. By decomposing integration into global risk, local risk and estimation risk, we argue that greater integration is mainly driven by global factors, not...

The contagion across capital markets is an important phenomenon in an increasingly integrated financial world. To investigate the contagion from the U.S., Japan, and Hong Kong to Asian emerging economies, we design a research strategy which captures fundamental interdependence among these stock...

The first Asia-Europe Meeting (ASEM) Summit in 1996 has provided the principal multilateral platform for interregional cooperation between the European and Asian countries. This book examines the equity market integration among 49 ASEM members both in EU and Asia, and to investigate whether such...

The study concentrates on an analysis of the Czech stock market performed by an application of DCC MV GARCH model of Engle (2002). Data sample including years from 1994 to 2009 is represented by daily returns of Prague Stock Exchange index and other 11 major stock indices. There is found an...

This paper estimates a bivariate VAR-GARCH(1,1) model to examine linkages between food and energy prices. The adopted framework is suitable to analyse both mean and volatility spillovers, and also allows for possible parameter shifts resulting from four recent events, namely: 1) the 2006 food...

This paper estimates a bivariate VAR-GARCH(1,1) model to examine linkages between food and energy prices. The adopted framework is suitable to analyse both mean and volatility spillovers, and also allows for possible parameter shifts resulting from four recent events, namely: 1) the 2006 food...

We apply the Diebold-Yilmaz connectedness index methodology on sovereign credit default swaps (SCDSs) to estimate the network structure of global sovereign credit risk. In particular, using the elastic net estimation method, we separately estimate networks of daily SCDS returns and volatilities...

We test for price bubbles in fourteen national REIT markets and examine the extent of convergence toward a common trend between the REITs of these countries. Our methodology consists of the recently developed test of Phillips, Shi and Yu (2012) for mildly explosive processes, and the Phillips...

Though the issues of co-movement and volatility transmission between Islamic and conventional stock indices have been extensively studied worldwide, this is the first study in reference to Bangladesh to the best of our knowledge. The broad objective of this paper is to investigate whether...

We propose and implement an index of macroeconomic vulnerability to foreign shocks based on a structural time-varying bayesianVARwith a block-exogeneity hypothesis for a given pair of a large economy and a small open economy. The index is based on the sum of the responses of the small open...