In our network analysis of 40 developed, emerging and frontier stock markets during 2006–2014, we describe and model volatility spillovers during global financial crisis and tranquil periods. The resulting market interconnectedness is depicted by fitting a spatial model incorporating several...

In our network analysis of 40 developed, emerging and frontier stock markets during 2006-2014, we describe and model volatility spillovers during global financial crisis and tranquil periods. The resulting market interconnectedness is depicted by fitting a spatial model incorporating several...

This paper examines the dynamics of volatility transmission between EU emission allowances (EUA) and oil markets using a range-based volatility measure. We propose a multivariate conditional autoregressive range model with bivariate lognormal distribution to capture volatility dynamics and...

Foreign portfolio investment is a major means by which emerging stock markets accumulate capital. However, the high mobility of foreign funds is a concern for local investors and policymakers in emerging countries because it may induce high stock price volatility. In this study, we utilized a...