The stock market globalization process has produced historic changes in the structure of stock markets, the effects of … which are evident throughout the world. Despite these transformations, there are relatively few sources examining the … connections between the globalization process currently under way and previous periods of stock market globalization. This seminal …

augment the standard HAR model by US realised volatility and VIX HAR components, and compare it to the original HAR model … ability for carry trade returns in currency markets. I find that system-wide volatility connectedness risk carries a …-wide volatility connectedness risk, while high interest rate currencies display a negative correlation. Low interest rate currencies …