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Uncertainty and Volatility; Market Linkages and Spillover Effects; and Extreme Events and Financial Transformations and address …. ch. 7. Macroeconomic News and exchange rate volatility: evidence of unstable effect ; ch. 8. Currency spillover effects … contagion effects; financial uncertainty and volatility; role of emerging financial markets in the global economy; role of …
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driven only by their fundamentals, or whether there is also a systemic component influenced by the volatility present within …
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from First to the Second Wave -- Chapter 6. The Volatility Connectedness Between Oil and Stocks: Evidence from the G7 …-19 on the Volatility Transmission Across Equity and Commodity Markets. …
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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... …
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