The aim of this study is to examine the impact of financial crises on the short-term interaction between stock market returns of the Macedonian, Serbian and Croatian equity markets. Daily data sample spans from January 4th 2006 to March 31st 2017and based on detected Zivot-Andrews structural...

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,...

Within a two-step GARCH framework we explore the linkages between equity returns of ten sectors in the euro area, the United States and Japan, respectively. Our estimation framework allows a distinction to be made between spillover effects originating from one of the three currency areas and...

We examine US stock index return and volatility spillovers on the mean and volatility of stock index returns of 21 Frontier markets. We entertain potential time-variation in spillovers in mean returns by considering a time-varying parameter (TVP) model. Spillovers in volatility are modeled by...

We quantify the role of global production linkages in explaining spillovers of U.S. monetarypolicy shocks to stock returns across countries and sectors using a newly constructed dataset.Our estimation strategy is based on a standard open-economy production network model thatdelivers a spillover...

Both academic researchers and policymakers posit a unique role for the US in the inter-national financial system. This paper investigates the characteristics and determinants of US cross-border financial flows and examines how these contrast with those of the rest of the world. We analyse the...

We examine US stock index return and volatility spillovers on the mean and volatility of stock index returns of 21 Frontier markets. We entertain potential time-variation in spillovers in mean returns by considering a time-varying parameter (TVP) model. Spillovers in volatility are modeled by...

A new model for time-varying spatial dependencies is introduced. It forms an extension to the popular spatial lag model and can be estimated conveniently by maximum likelihood. The spatial dependence parameter is assumed to follow a generalized autoregressive score (GAS) process. The theoretical...