This article presents and assesses the methodology and results of a comparative analysis conducted by Bruno Amable in financial systems and corporate governance in the context of current policy and regulatory challenges. The article, which is based on a literature review and game theory...

In this survey article, we present a rich extent of literature on volatility and its propagation on financial markets via spillovers. We document how new approaches or improved existing methodologies lead to results that offer richer insights than those derived from standard econometric...

Purpose – The purpose of this paper is to examine the price discovery and volatility spillovers in spot and futures prices of four currencies (namely, USD/INR, EURO/INR, GBP/INR and JPY/INR) and between futures prices of both stock exchanges namely, Multi-Commodity Stock Exchange (MCX-SX) and...

Purpose – This paper aims to examine the contagion effects of Greece, Ireland, Portugal, Spain and Italy (GIPSI) and US stock markets on seven Eurozone and six non-Eurozone stock markets. Design/methodology/approach – In this paper, a dynamic conditional correlation (DCC) model popularly...

We introduce a copula-based dynamic model for multivariate processes of (non-negative) high-frequency trading variables revealing time-varying conditional variances and correlations. Modeling the variables' conditional mean processes using a multiplicative error model we map the resulting...

We introduce a copula-based dynamic model for multivariate processes of (non-negative) high-frequency trading variables revealing time-varying conditional variances and correlations. Modeling the variables' conditional mean processes using a multiplicative error model we map the resulting...