market to three American countries are revealed. The impact is strongest for Canada, followed by Mexico and Brazil, which are …Information flows across international financial markets typically occur within hours, making volatility spillover … appear contemporaneous in daily data. Such simultaneous transmission of variances is featured by the stochastic volatility …

, Euro area, Australia, Swiss, Canada, United Kingdom and Japan), using daily data, during the period 1990 to 2015 and during … transitory components of the conditional variance exhibit several well-known peaks in volatilities; (ii) the long-run volatility … relationships are stronger than the short-run linkages volatility with a reinforcement during the post-global financial crisis …

It has been established in the literature that volatility of stock returns exhibits complex properties of not only … volatility clustering, but also long memory, regime change, and substantial outliers during turbulent and calm periods. Hence …, this paper seeks to analyze volatility spillover, co-movements, independence and contagion in the Chinese, Japanese …

Examinations of the dynamics of daily returns and volatility in stock markets of the US, Hong Kong and mainland China …

The study examines the return and volatility spillover among Asian stock markets in India, Hong Kong, Japan, China … bidirectional return, shock, and volatility spillover among most of the stock markets. The magnitude of volatility linkages is low … indicating weak integration of Asian stock markets. The study finds that own volatility spillover is higher than cross …

The study examines the return and volatility spillover among Asian stock markets in India, Hong Kong, Japan, China … bidirectional return, shock, and volatility spillover among most of the stock markets. The magnitude of volatility linkages is low … indicating weak integration of Asian stock markets. The study finds that own volatility spillover is higher than cross …

framework is a bivariate volatility model, where volatility spillovers of either positive or negative sign are allowed for. Our … countries. Regarding the volatility spillovers, such spillovers from bond returns to those of stocks are stronger than the other … results show that by considering time-varying return and volatility spillovers when calculating the risk-minimising portfolio …

The study of volatility spillovers provides useful insights into how information is transmitted from stock market to … foreign exchange market and vice versa. This paper explores volatility spillovers between the Indian stock and foreign … exchange markets. The results indicate that there exists a bidirectional volatility spillover between the Indian stock market …

The study examines returns spillover, shock, and volatility transmission between Nigeria and selected global stock … benefit from diversification into Nigeria and Japan markets. Except for China and Hong Kong, volatility is relatively more …

considerably from those for Mexico. In particular, the empirical results indicate that volatility spillover effects, but not return …In this paper we examine the issue of asymmetry in the return and volatility spillover effects from the US equity … market into the Canadian and Mexican equity markets. We model the conditional volatility of the returns in each of the three …