datasets, for the crisis and post-crisis periods, the study identifies significant uni-directional volatility spillovers from … the euro to the rand during crisis and post-crisis periods. Further, increased volatility spillovers and time …This article investigates the exchange rate volatility spillover and dynamic conditional correlation between the euro …

volatility, which is likely to remain at play in the longer run. …

The key objective of this study is to investigate the return and volatility spillover effects among stock market … trivariate VAR BEKK GARCH (1,1) model, the study finds that there are significant return and volatility spillover effects between … and the US stock market to the Korean stock market, and the volatility spillover effect from the Japanese stock market to …

This study investigates the relationship between exchange rate volatility and cur-rency substitution in Nigeria, using … addition, there is empirical supportfor a positive relationship between exchange rate volatility and currency substitu … incontaining exchange rate volatility and inflation as a way of curbing the spate ofcurrency substitution in the country. …

for forecasting the volatility of both the TASI and the TIPISI in the context of petrochemical industries, as this model … outperforms the other models in model estimation and daily out-of-sample volatility forecasting of the two indices. This study is …

to advanced market volatility spillovers. These markets may thus provide international diversification opportunities for …This study examines the determinants of time-varying return volatility of Africa's equity markets using monthly indices … of eight top African stock markets. The conditional variance is modelled as a proxy for Africa's volatility indices using …

to advanced market volatility spillovers. These markets may thus provide international diversification opportunities for …This study examines the determinants of time-varying return volatility of Africa's equity markets using monthly indices … of eight top African stock markets. The conditional variance is modelled as a proxy for Africa's volatility indices using …

This paper examines the effects of financial crises on the long memory volatility dependency of daily exchange returns …-parametric Local Whittle method to estimate the long memory volatility dependency of the daily returns and the temporally aggregated … returns of the two exchange rates. Then it compares the effects of the two financial crises on the long memory volatility …

We use the GARCH-MIDAS model to extract the long- and short-term volatility components of cryptocurrencies. As … potential drivers of Bitcoin volatility, we consider measures of volatility and risk in the US stock market as well as a measure … of global economic activity. We find that S&P 500 realized volatility has a negative and highly significant effect on …