markets. We put to test the government's claim by exploring the volatility linkages of Russia versus US and Europe. We found … strong bidirectional return and volatility linkages between these markets leading the evidence in favor of government claim …

markets and Russia, second we investigate the relationship among the currency markets of Poland, Hungry, Russia and Czech … linkage between the equity markets, both in regards of returns and volatility, as well as in currency markets. While analyzing … the relationship between currency and stock markets we found unidirectional volatility spillovers from currency to stock …

studyanalyzes the stock market volatility in three distinct regimes (accumulation or distri-bution - regime 1; big-move - regime 2 …

empirical application aiming at comparing estimates and predictions of the volatility of financial asset returns. The Dynamic …

The volatility of equity and foreign exchange market is an important input to portfolio selection and to asset pricing … models. Many investment decisions and valuation of derivatives frequently rely on predictions of volatility. In this paper we … review the existing empirical literature in forecasting volatility of financial time series. Particularly, we decompose the …

Even though volatility spillover effects in global equity markets have been documented extensively, the transmission of … illiquidity. We empirically study the illiquidity and volatility spillover effects in eight developed equity markets during and … after the recent financial crisis. The results indicate that equity markets are interdependent, both in terms of volatility …

-affine volatility dynamics. We use extensive empirical data sets to study how infinite-activity Variance Gamma and Normal Inverse … Gaussian jumps with affine and non-affine volatility dynamics improve goodness of fit and option pricing performance. With …