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 …

wide variety of stocks, bonds and options. Evidence suggests that both the expected return and the volatility vary over … considerable effort has been devoted to the modelling of time-varying volatility. Recent attention has moved to examining the … daily stock market volatility in a sample of significant emerging stock markets using an Asymetric Volatility Model (ASV …

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