Τhis paper investigates the potential volatility spillover and contagion effects of the Eurodollar futures market and the zero coupons of Banca Fideuram. We consider the zero coupons of Banca Fideuram ending from 2018 to 2033. By employing a bivariate DCC-GARCH model, we show significant...

In this paper we investigate the spillover effects of FOREX and equity markets for USA, Brazil, Italy, Germany and Canada on the basis of daily data. We test for contagion co-movements for the period 2010-2018 post global financial crisis, using the trivariate AR-diagonal BEKK model. The...

We explore the time-varying conditional correlations of the Sovereing CDS spread returns for Germany, France, China and Japan against USA. We employ a cDCC-AR-FIGARCH model in order to capture potential contagion effects between the markets during the 2011-2018 post global financial crisis....

In this paper, we examine potential time-varying correlations between crude oil future and USA bond markets. We employ a dynamic conditional correlation (DCC) multivariate GARCH model in order to quantify potential contagion effects between the markets for the period 2005-2020. We divide the...

This paper examines the time-varying conditional correlations between Bitcoin future market and five FOREX future markets. A sixvariate dynamic conditional correlation (DCC) GARCH model is applied in order to capture potential contagion effects between the markets for the period 2017-2019....

This paper examines the time-varying conditional correlations between FIRST BITCOIN CAP and ICE BofA Sterling Zero Coupon markets. We apply ten bivariate DECO-GARCH models in order to capture potential contagion effects between the markets for the period 2007-2020. Empirical results reveal...

This paper seeks to investigate the time-varying conditional correlations to the futures FOREX market returns. We employ a dynamic conditional correlation (DCC) Generalized ARCH (GARCH) model to find potential contagion effects among the markets. The under investigation period is 2014-2019. We...

This paper seeks to investigate the time-varying conditional correlations to the crude oil futures contract returns and the private Credit Default Swap market returns of Germany and France. We employ a dynamic conditional correlation (DCC) Generalized Auto Regressive Conditional...

This paper examines the time-varying conditional correlations between seventeen metal future markets and Malaysian Islāmic bonds. We apply twelve six variate dynamic conditional correlation (DCC) FIGARCH models in order to capture potential contagion effects between the markets for the period...