EGARCH model. Empirical results indicate significant return and volatility spillover effects during the full sample and the …-movements, and strong volatility persistence. During the Russian Great Recession subsample, the ownreturn effects of the markets are … partially integrated and the volatility transmission linkages across them are not that strong in crises periods, thus confirming …

framework is a bivariate volatility model, where volatility spillovers of either positive or negative sign are allowed for. Our … countries. Regarding the volatility spillovers, such spillovers from bond returns to those of stocks are stronger than the other … results show that by considering time-varying return and volatility spillovers when calculating the risk-minimising portfolio …

the bond market and its volatility; (2) the first two announcements did not exert any impact on the financial market, but … the third and fourth announcements helped to compress the yield and its volatility; (3) the program helped to restrain the … exchange rate depreciation and volatility in the foreign exchange market; and (4) the impact of the announcements on stock …