Purpose – In this paper, the authors aim to investigate the return, volatility and correlation spillover effects …/value – This paper has empirical originality in investigating the return, volatility and correlation spillover effects from the … models (diagonal, constant conditional correlation and dynamic conditional correlation) with the vector autoregressive model …

targets on public companies' stock price returns and volatility. We find no evidence that committing or setting a target … yields higher returns but contributes to a reduction in price volatility, albeit the impact is short-lived. In view of these …

This paper documents law of one price violations in equity volatility markets. While tightly linked by no …

to intermediate bond markets, as in March 2020. Although yield volatility explains most of the variation in Treasury … than predicted by yield volatility alone. This is consistent with the existence of occasionally binding constraints on the …