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

return correlations using weekly returns on futures markets and investigate the extent to which multivariate volatility … version of the Gaussian dynamic conditional correlation (DCC) model proposed by Engle (2002), and show that the t-DCC model …

in specific correlation dynamics. A strong implication emerges: during the period under research, and from a different …

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

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 …

is poor, asset return correlation affects ownership structure in a positive way. Higher return correlation lowers the … countries where stock return correlation is higher, and that the magnitude of this effect is larger in countries where investor …

, volatility, and cross-market GARCH-in-mean effects. Hypotheses about the importance of different channels are tested. The results … dominating in Asia, and regional spillovers in Latin America and the Middle East. -- volatility spillovers ; contagion ; stock …