Sovereign CDS spreads have become major variables focused on risks and expectations about the fiscal situation of different countries. In the paper we investigate, first, whether there is a link in the new member states between the expectations about the condition of their public finances and...

We employ a bivariate VAR-GARCH model of Ling and McAleer (2003) to examine the volatility transmission between oil prices and stock market sectors in the United States. We also compute the optimal weights and hedge ratios for oil-stock portfolio holdings and show how they can be used to build...

This paper investigates the impact of US scheduled macroeconomic announcements on the domestic, the French and the German market, respectively using an augmented version of the multivariate DCC-GARCH model. Our setting allows to separate the direct effect (common response), from the indirect...