This paper investigates linkages among equity market returns and volatility spillovers in the following countries … volatility spillovers. All of the countries in the sample, with the exception of UK and Turkey, experience volatility spillovers … from other markets. Finally, because of the risk-return trade-off, we analyzed the effect of volatility of the market on …

. The purpose of this paper is to examine the volatility spillovers for spot and futures returns on bio-ethanol and related … prices, returns and volatility of related agricultural commodities. Analyzing the spillover effects on agricultural … agricultural commodities, specifically corn and sugarcane, using the multivariate diagonal BEKK conditional volatility model. The …

breaks in volatility spillovers. Particularly during the financial crisis of 2007, we find effects consistent with the notion … find the latter to be the main driver of breaks in volatility spillovers. Taking the volatility of realized volatilities …This paper conducts an investigation of volatility transmission between stock markets in Hong Kong, Europe and the …

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 …

This study uses the Multiplicative Error Model (MEM) to explore asymmetric volatility spillovers between crude oil and … other major asset markets. We have extended the MEM of Engle et al. (2012) and ddd to include asymmetric volatility … spillovers and developed the spillover balance as well as asymmetric spillover indexes. We have then allowed these indexes to …

EGARCH model. Empirical results indicate significant return and volatility spillover effects during the full sample and the …-movements, and strong volatility persistence. During the Russian Great Recession subsample, the ownreturn effects of the markets are … partially integrated and the volatility transmission linkages across them are not that strong in crises periods, thus confirming …