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 …

This paper examines mean and volatility spillovers between four green municipal bonds issued by the US states of … green bond returns and volatilities. On the whole, the evidence suggests weaker linkages, and thus a lower degree of …

volatility, namely, seasonality and maturity effects for the pre-financialisation (1993-2003) and post-financialisation (2004 … futures' volatility before the financialisation period, open interest as a measure of liquidity has a negative effect after ….e. volatility of the contract increases as it nears to expiration since financialisation. This confirms the importance of accounting …

estimation of a VAR-GARCH model. The results can be summarized as follows. Negative news have significant positive effects on … reaction has increased during the recent financial crisis. News volatility has a significant impact on yield spread volatility …

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