large economies, USA, United Kingdom, Germany, France and Japan. The empirical results show that although the pure NGARCH …

follows. We find weak and shortlived return spillovers, in particular from the USA to Japan. Volatility spillovers are more …Financial market spillovers around the globeThis paper investigates the transmission of return and volatility … contribution from foreign markets is less pronounced in the case of returns than in the case of volatility. Possible gains in terms …

In this paper we present an exact maximum likelihood treatment forthe estimation of a Stochastic Volatility in Mean …(SVM) model based on Monte Carlo simulation methods. The SVM modelincorporates the unobserved volatility as anexplanatory variable … Stochastic Volatility (SV)model. However, efficient Monte Carlo simulationmethods for SV models have been developed to overcome …

including monthly stock price indices for five EU countries (Germany, France, the Netherlands, Ireland and the UK) as well as …

including monthly stock price indices for five EU countries (Germany, France, the Netherlands, Ireland and the UK) as well as …

-specific factors. In an empirical analysis of term structures of government bond yields for the Germany, Japan, the U.K. and the U …

correlation. …

applicability of a multivariate constant conditional correlation version of the model to national stock market returns for eight …