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

post-September 2008 period. There are also volatility spillovers from stock market returns to equity fund flows both before …

A growing literature uses changes in residual volatility for identifying structural shocks in vector autoregressive … in applications in this context. This study reviews the different volatility models and points out their advantages and …

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

is correlated across countries with lower average stock market volatility, crises are more frequent in countries with … investment fall by more in countries with poor creditor protection. -- liquidity crisis ; creditor protection ; stock volatility …

Data show that better creditor protection is correlated across countries with lower average stock market volatility … protection. -- liquidity crisis, creditor protection, stock volatility, credit crunch …

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 …

This study examines the impact of investors' buy and sell trades on Korean stock market volatility across two crisis … on volatility that depends on the type of investor trading and on the phase of the business cycle. Buy orders appear to … be more informative than sell orders since they mostly lower volatility in the pre-crisis periods, while sell and post …