as well as the nature of the volatility spillovers among the US, the EU and the BRIC markets has not been systematically … investigated. To examine the dynamic linear and nonlinear causal linkages a stepwise filtering methodology is introduced, for which … support of the “decoupling” view is found. Some nonlinear causal links persist after filtering during the examined period …

other variables. A new stepwise multivariate filtering approach is implemented. To check if any of the observed causality is … filtering. This indicates that if nonlinear effects are accounted for, neither FX market leads or lags the other consistently …

spillovers between the European markets. The strongest spillover comes from the previous day's realized range of the US market …