RMB Exchange Rates and Volatility Spillover across Financial Markets in China and Japan

The Influence of Structural Changes in Volatility on Shock Transmission and Volatility Spillover among Iranian Gold and Foreign Exchange Markets

Multivariate Volatility and Spillover Effects in Financial Markets

The relationship between volatility and risk has been one of the main factors underlying the interest in volatility modelling. An important question for international diversification is whether shocks in one market influence, or have spillovers into, returns and volatility in other markets. This paper tests for the existence of volatility spillovers among the S&P 500, FTSE 100 and Nikkei 225 st...

Empirical Analysis of Volatility Spillover Effects in International Financial Markets

Volatility spillover effect in international financial markets is one of the principal issues that widely attract academic and industrial scholars’ attention. Through constructing a binary GARCH-BEKK model, this study empirically tests the volatility effects among stock market, gold market, WTI crude oil futures market and spot market, and concludes that there is bidirectional volatility spillo...

Testing the Sensitivity of Spillover Effects Across Financial Markets

Although market interdependence would seem to be conceptually straightforward, being based on international fundamentals, there are no generally accepted testing strategies. This paper tests for the sensitivity of the empirical results reported in Veiga and McAleer (2004), who use the vector autoregressive moving average asymmetric generalised autoregressive conditional heteroskedasticity (VARM...

the influence of structural changes in volatility on shock transmission and volatility spillover among iranian gold and foreign exchange markets