This paper examines volatility transfers between size-based stock indexes from the Tokyo Stock Exchange. We use a bivariate EGARCH model to test for volatility spillover effects between large- and small-cap stock indexes. We find an asymmetric volatility spillover from large-cap stock returns to...

Over the period from 1981 through 1999, we investigate the relationship between bankcard delinquencies and key macroeconomic variables. Changes in the proportion of accounts in default are statistically related to the consumer debt ratio. When the delinquency rate is calculated based on the...

This paper employs a two-step GARCH-M procedure to study price and volatility spillover effects between nine physical commodity futures contracts, as well as transmissions to those commodities from Eurodollars, the S&P500, and the U.S. Dollar Index. Our results show a strong pattern of price...