In this paper we model the volatility of the spread between the overnight interest rate and the central bank policy … 2007. During the crisis, the policy spread exhibited signs of volatility, owing to the breakdown in interbank market … activity. The determinants of this volatility are assessed using Stochastic Volatility models to gauge the role played by …

volatility spillovers during global financial crisis and tranquil periods. The resulting market interconnectedness is depicted by … between markets and somewhat weaker temporal effects with regard to the US equity market – volatility spillovers decrease when … markets are characterized by greater temporal proximity. Volatility spillovers also present a high degree of …

across countries with lower average stock market volatility, crises are more frequent in countries with poor creditor …

return correlations using weekly returns on futures markets and investigate the extent to which multivariate volatility …

implications for exchange rates, volatility, returns to currency investing, and transaction costs. This “blow-by-blow” narrative is …