reaction has increased during the recent financial crisis. News volatility has a significant impact on yield spread volatility …

reaction has increased during the recent financial crisis. News volatility has a significant impact on yield spread volatility …

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 …

Russia. The adopted framework allows to analyse interdependence by estimating volatility spillovers, and also contagion by … testing for possible shifts in the transmission of volatility following the introduction of the euro and EU accession. Further …. Furthermore, whilst the introduction of the euro has had mixed effects, EU accession has resulted in an increase in volatility …

03/1/2000- 12/5/2013. The estimated VAR-GARCH(1,1) model allows for both mean and volatility spillovers and for the …

03/1/2000-12/5/2013. The estimated VAR-GARCH(1,1) model allows for both mean and volatility spillovers and for the …

Gold and Silver. Volatility spillovers are bigger in size and affect most commodity returns. Both first and second moment … financial assets, are sensitive to macro news (especially their volatility), and also suggest that the global financial crisis …

Gold and Silver. Volatility spillovers are bigger in size and affect most commodity returns. Both firstand second moment … financial assets, are sensitive to macro news (especially their volatility), and also suggest that the global financial crisis …

This paper uses a VAR-GARCH(1,1) model to analyse mean and volatility spillovers between macro news (in the form of …

This paper uses a VAR-GARCH(1,1) model to analyse mean and volatility spillovers between macro news (in the form of …