Uncertainty and Volatility; Market Linkages and Spillover Effects; and Extreme Events and Financial Transformations and address … contagion effects; financial uncertainty and volatility; role of emerging financial markets in the global economy; role of … volatility and firm-level exposure; financial effects of economic, political and social risks; link between financial development …

average and spot measures of the magnitude and direction of volatility spillovers. Our methodology is based on forecast error … variance decompositions of VAR and VARMA systems of parametric and non-parametric volatility measure... …