In this paper we investigate short-run co-movements before and after the Lehman Brothers’ collapse among the volatility series of US and a number of European countries. The series under investigation (implied and realized volatility) exhibit long-memory and, in order to avoid...

In this paper we use the Diebold Yilmaz (2009 and 2012) methodology to construct an index of connectedness among five European stock markets: France, Germany, UK, Switzerland and the Netherlands, by using volatility risk premia. The volatility risk premium, which is a proxy of risk aversion, is...

Up to now, the analyses of the current "Great Recession" have been mainly confined to the national and international scale leaving aside the differential effects of the crisis upon regions and smaller areas. Although the current crisis has a strong international and global flavor, it must be...