This paper adopts the robust cross-correlation function methodology developed by Hong (J Econom 103:183–224, <CitationRef CitationID="CR14">2001</CitationRef>) in order to test for volatility and mean spillovers between Greek long-term government bond yields and the banking sector stock returns of four Southern European countries, namely...</citationref>

The paper presents the results of causality-in-mean and causality-in-variance tests among crude oil futures price and U.S. Dollar Index. The testing procedure introduced by Cheung and Ng and Hong is applied. Cheung and Ng proposed to examine correlation coefficients between lagged values of the...

Most studies on the correlations in stock returns and volatilities focus on the contemporaneous relationships and spillover effects in major stock markets such as the US and Japan. This paper adds to the literature by focusing on the dynamic relationship in the volatilities of the returns in the...