In this article, three strongly related questions are studied. First, volatility spillovers between large and small firms in the Spanish stock market are analyzed by using a conditional CAPM with an asymmetric multivariate GARCH-M covariance structure. Results show that there exist bidirectional...

The objective of this study is to analyze volatility transmission between the US and Eurozone stock markets considering the effects of the September 11, March 11 and July 7 financial crises. In order to do this, we use a multivariate GARCH model and take into account the asymmetric volatility...

The objective of this paper is to analyze volatility transmission between stocks and bonds in the European market in an attempt to establish whether the observed pattern in volatility can be exploited economically. In order to do so, firstly, we use an asymmetric multivariate GARCH model that...