This paper analyzes volatility spillovers in multivariate GARCH-type models. We show that the cross-effects between the … conditional variances determine the persistence of the transmitted volatility innovations. In particular, the influence of a … foreign volatility innovation on a conditional variance is even more persistent than an own innovation unless this effect is …

and supervisory arrangements adequate when market volatility increases and financial institutions come under stress? In …

market volatility. While rating agencies are part and parcel of today's financial markets, the study succeeds in tracing some … volatility levels of yield spreads and stock market returns. Third, these findings imply that the sovereign rating industry has … are unlikely to add to the Harberger externality, even though they tend to reduce volatility in both bond and stock …