This paper provides new empirical evidence on housing bubble timing, volatility spillover, and bubble contagion between Japan and its economic partners, namely, the United States, the Eurozone, and the United Kingdom. First, we apply a generalized sup ADF (GSADF) test to the quarterly...

The objective of this paper is to analyze the volatility spillover effects in the Moroccan interbank sector before and during the COVID-19 pandemic crisis using the DY model. Specifically, this study assesses the impact of the recent COVID-19 outbreak on the transmission of volatility among...

The present study aims to investigate the volatility spillover effects in the international financial markets before and during the Russia-Ukraine conflict. The subject of this paper is the study of the influence of the recent war between Russia and Ukraine on the transmission of volatility...

In the study, quantile regression (QR) is employed as the primary research tool, with ordinary least squares (OLS) regression used for comparison purposes. The motivation for this research stems from conflicting findings in existing literature regarding the spillover effects of Brent crude oil...

In this paper, we propose a game in which each player decides with whom to establish a costly connection and how much local public good is provided when benefits are shared among neighbors. We show that, when agents are homogeneous, Nash equilibrium networks are nested split graphs....

We introduce a game-theoretic model with switching costs and endogenous references. An agent endogenizes his reference strategy and then, taking switching costs into account, he selects a strategy from which there is no profitable deviation. We axiomatically characterize this selection procedure...

Market participants, policymakers, and practitioners might have ignored the connection between global commodities and the currency markets in sub-Saharan Africa and the potential for contagion at various time scales. We examine the degree of time-varying connectivity and contagion between...

This article investigates comovement and contagions in the commodities markets. We examine the comovement by analyzing the unconditional correlation coefficients. We document that commodities tend to partially integrate. We perform contagion tests by identifying coexceedances and estimating...

The present study investigates the timing and repercussion of the subprime crisis of 2008–09 in a regime-switching model. The interdependence and co-movement of financial markets in different countries has been enhanced due to the globalization of international trade, and investment trends can...

Systematic risks in cryptocurrency markets have recently increased and have been gaining a rising number of connections with economics and financial markets; however, in this area, climate shocks could be a new kind of impact factor. In this paper, a spillover network based on a time-varying...