Changes in residual volatility in vector autoregressive (VAR) models can be used for identifying structural shocks in a structural VAR analysis. Testable conditions are given for full identification for the case where the volatility changes can be modelled by a multivariate GARCH process. Formal...

Changes in residual volatility in vector autoregressive (VAR) models can be used for identifying structural shocks in a structural VAR analysis. Testable conditions are given for full identification for the case where the volatility changes can be modelled by a multivariate GARCH process. Formal...

I investigate the impact of the Global Financial Crisis (GFC) on the returns and volatilities of eleven major European share markets, and test the proposition that the GFC developed over two stages: a subprime mortgage crisis (pre-Lehman), and a more severe global liquidity shortage phase...

Existing literature suggests that conditional correlations between equity markets vary over time, and increase over periods of financial crises. I test this hypothesis on a set of eight national equity indices from the Asia-Pacific region on one hand, and the US market on the other. Tse (2000)...

We study market illiquidity across eleven national markets of the Balkan Peninsula. In general the EU member countries have are more liquid markets than the non-member countries. Turkey, however, has the most liquid market, while Serbia and Bosnia are the most illiquid. Global illiquidity...