market (EM) countries by testing volatility spillovers of asset returns using a BEKK GARCH (1,1) model. The author modifies … the classical BEKK GARCH model in order to study the dynamics and origins of volatility spillovers. The study's empirical … results are threefold. First, volatility spillovers between the foreign exchange and stock markets are significant in most EM …

This paper investigates volatility contagion across U.S. and European stock markets during the Global Financial Crisis … (GFC) and the Eurozone Sovereign Debt Crisis (ESDC). Using a sample of international implied volatility indices on daily … recognized by implied volatility markets. The results provide important implications for the effectiveness of international …

This paper examines mean and volatility spillovers between the Turkish stock market with international stock, exchange …