In this survey article, we present a rich extent of literature on volatility and its propagation on financial markets via spillovers. We document how new approaches or improved existing methodologies lead to results that offer richer insights than those derived from standard econometric...

This article presents and assesses the methodology and results of a comparative analysis conducted by Bruno Amable in financial systems and corporate governance in the context of current policy and regulatory challenges. The article, which is based on a literature review and game theory...

We introduce a copula-based dynamic model for multivariate processes of (non-negative) high-frequency trading variables revealing time-varying conditional variances and correlations. Modeling the variables' conditional mean processes using a multiplicative error model we map the resulting...