Since portfolio management relies on the association of portfolio diversification, analyzing the spillover between the United States (US) and Asian-Pacific financial markets has become more critical. If Asian stock markets have low or negative correlations with each other and/or the US market,...

This study investigates the volatility and external shock persistence within the financial and alternative assets markets during times of crises triggered by Covid-19 and the war in Ukraine. Univariate GARCH family models are used to capture the effect of financial turmoil caused by recent...

We formalize the idea that the financial sector can be a source of non-fundamental risk. Households' desire to hedge against price volatility can generate price volatility in equilibrium, even absent fundamental risk. Fearing that asset prices may fall, risk-averse households demand safe assets...