Financial risk modeling and management are very important and challenging tasks for financial institutions’ quantitative units. Owing to the complex nature of portfolios, and given recent financial market developments, contemporary research is focused on tail modeling and/or dependency...

This study investigates volatility spillovers and the dynamic relationship between the stock and currency markets in the Czech Republic, Poland, Hungary and Russia using four multivariate GARCH models. We analyze the optimal weights and the effectiveness of diversification for stock-currency...