This study examines the contemporaneous return transmission mechanism across the G20 stock market returns employing a novel R-Square (R2) connectedness framework combining the network approach of Kenett et al. (2010, 2015) and the connectedness approach of Diebold and Yilmaz (2012, 2014). The...

In this study we examine the role of the Euro on currency co-movements and contagion considering six major currencies (i.e., EUR(DM), JPY, GBP, CHF, AUD, as well as, CAD) and their corresponding USD exchange rates. The period of study extends from January 2, 1975 to April 8, 2016. The selected...

In this study, we enhance the dynamic connectedness measures originally introduced by Diebold and Yılmaz (2012, 2014) with a time-varying parameter vector autoregressive model (TVP-VAR) which predicates upon a time-varying variance-covariance structure. This framework allows to capture possible...