This paper uses a VAR-GARCH(1,1) model to analyse mean and volatility spillovers between macro news (in the form of …

region using a VAR-GARCH (1,1) framework that sheds light on interdependence as well as the effects of the 2014 oil crisis … in the volatility, from the largest market of Saudi Arabia to Qatar and the two markets in the UAE, which confirms that …

This paper investigates the effects of equity and bond portfolio in.ows on exchange rate volatility, using monthly … probability Markov-switching model. We find that net equity (bond) inflows drive the exchange rate to a high (low) volatility … state. In particular, net bond inflows increase the probability of remaining in the low volatility state in the case of …

This paper uses a VAR-GARCH(1,1) model to analyse mean and volatility spillovers between macro news (in the form of …

This paper investigates the effects of equity and bond portfolio inflows on exchange rate volatility, using monthly … probability Markov-switching model. We find that net equity (bond) inflows drive the exchange rate to a high (low) volatility … state. In particular, net bond inflows increase the probability of remaining in the low volatility state in the case of …

) ; volatility spillovers ; interdependence ; contagion ; VAR-GARCH-in-mean model …This paper estimates a tri-variate VAR-GARCH(1,1)-in-mean model to examine linkages between the stock markets of three … Russia. The adopted framework allows to analyse interdependence by estimating volatility spillovers, and also contagion by …