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Stock market integration between three CEECs, Russia and the UK
Caporale, Guglielmo Maria; Spagnolo, Nicola - 2010
Russia. The adopted framework allows to analyse interdependence by estimating volatility spillovers, and also contagion by … testing for possible shifts in the transmission of volatility following the introduction of the euro and EU accession. Further …. Furthermore, whilst the introduction of the euro has had mixed effects, EU accession has resulted in an increase in volatility …
Persistent link: https://www.econbiz.de/10010270472
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Macro news and exchange rates in the BRICS
Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - 2016
03/1/2000- 12/5/2013. The estimated VAR-GARCH(1,1) model allows for both mean and volatility spillovers and for the …
Persistent link: https://www.econbiz.de/10011421883
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Macro news and exchange rates in the BRICS
Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - 2016
03/1/2000-12/5/2013. The estimated VAR-GARCH(1,1) model allows for both mean and volatility spillovers and for the …
Persistent link: https://www.econbiz.de/10011422554
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Macro news and commodity returns
Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - 2015
Gold and Silver. Volatility spillovers are bigger in size and affect most commodity returns. Both first and second moment … financial assets, are sensitive to macro news (especially their volatility), and also suggest that the global financial crisis …
Persistent link: https://www.econbiz.de/10011336938
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The euro introduction and non-euro currencies
Dijk, Dick van; Munandar, Haris; Hafner, Christian M. - 2006
This paper documents the existence of large structural breaks in the unconditional correlations among the British pound, Norwegian krone, Swedish krona, Swiss franc, and euro exchange rates (against the US dollar) during the period 1994-2003. Using the framework of dynamic conditional...
Persistent link: https://www.econbiz.de/10011343243
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Macro news and commodity returns
Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - 2015
Gold and Silver. Volatility spillovers are bigger in size and affect most commodity returns. Both firstand second moment … financial assets, are sensitive to macro news (especially their volatility), and also suggest that the global financial crisis …
Persistent link: https://www.econbiz.de/10011346863
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Macro news and stock returns in the euro Area : a VAR-GARCH-in-means analysis
Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - 2014
follows. Positive (negative) news have significant positive (negative) effects on stock returns in all cases. Their volatility … has a significant impact on both stock returns and volatility; specifically, an increase in news volatility is always …
Persistent link: https://www.econbiz.de/10010383808
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Exchange rates and macro news in emerging markets
Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - 2016
This paper uses a VAR-GARCH(1,1) model to analyse mean and volatility spillovers between macro news (in the form of …
Persistent link: https://www.econbiz.de/10011441480
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Exchange rates and macro news in emerging markets
Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - 2016
This paper uses a VAR-GARCH(1,1) model to analyse mean and volatility spillovers between macro news (in the form of …
Persistent link: https://www.econbiz.de/10011444455
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Macro news and stock returns in the euro area : a VAR-GARCH-in-mean analysis
Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - 2014
. Positive (negative) news have significant positive (negative) effects on stock returns in all cases. Their volatility has a … significant impact on both stock returns and volatility; specifically, an increase in news volatility is always associated with a …
Persistent link: https://www.econbiz.de/10010399794