framework is suitable to analyse both mean and volatility spillovers, and also allows for possible parameter shifts resulting … food crisis and 2008 financial crisis leading to the most significant shifts in the (volatility) spillovers between the …

This paper uses a VAR-GARCH(1,1) model to analyse mean and volatility spillovers between macro news (in the form of …

03/1/2000-12/5/2013. The estimated VAR-GARCH(1,1) model allows for both mean and volatility spillovers and for the …

reaction has increased during the recent financial crisis. News volatility has a significant impact on yield spread volatility …

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 …

This paper investigates the effects of equity and bond portfolio in.ows on exchange rate volatility, using monthly … probability Markov-switching model. We find that net equity (bond) inflows drive the exchange rate to a high (low) volatility … state. In particular, net bond inflows increase the probability of remaining in the low volatility state in the case of …

indicate that the June 2017 crisis lowered stock market returns and generally led to greater volatility spillovers within the …

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 …

This paper examines mean and volatility spillovers between three major cryptocurrencies (Bitcoin, Litecoin and Ethereum …