risk in three financial sectors (financial services, banking, and insurance) in eight countries, including various European …-variate GARCH-in-mean model and volatility spillovers. The empirical results show the significant effects (positive and negative …, respectively) of the stock market returns, interest rate, and exchange rate volatility of the financial sector during the crisis …

This paper examines the effects of financial crises on the long memory volatility dependency of daily exchange returns …-parametric Local Whittle method to estimate the long memory volatility dependency of the daily returns and the temporally aggregated … returns of the two exchange rates. Then it compares the effects of the two financial crises on the long memory volatility …

In this paper, we investigate the "static and dynamic" return and volatility spillovers’ transmission across developed …-directional return and volatility spillovers between developed and developing countries. However, unidirectional volatility spillovers …-directional volatility spillovers within the European region (Eurozone and non-Eurozone currencies) with the British pound sterling (GBP) and …

We analyze time-varying exchange rate co-movements and volatility spillovers between the Czech koruna, the Polish zloty … volatilities are due to each currency's own history. However, during the distress periods volatility spillovers among currencies …