Volatility spillover effect in Western Balkans

Revisited Return and Volatility Spillover Effect in Korea

This paper investigates the price returns and volatility linkages between the foreign exchange (KRW) and stock (KOSPI) markets in Korea, using the cointegration test, and bivariate GJR-GARCH model. Our findings from empirical analysis are summarized as follows. First, there is no long-term equilibrium relationship between the KRW and KOSPI markets. Second, exogenous variables (yen/dollar exchan...

Volatility Spillover among Industries in the Capital Market in Iran

Measuring the dynamic relationship between banking and industries with systemic importance has attracted much attention after the recent financial crisis. This paper examines the dynamic conditional correlations and volatility spillover using three popular multivariate GARCH models in the twelve-year period (from the beginning of 2005 to the beginning of 2016) among the fourteen systemically im...

price volatility spillover effects in beef market of tehran province

the price volatility spillover effect indicates that price volatility in different markets can be mutually affected. the objective of the study is to analyze volatility price spillover effects on the vertical levels including input, wholesale and retail sale levels in the tehran beef supply chain. the multivariate generalized autoregressive conditional heteroskedastic (mvgarch) model was used b...

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

The European Union and State Building in the Western Balkans

This paper examines the feasibility of network governance in the context of the EU's expansion in the Western Balkans. The EU is formally committed to promoting network governance but the realities of enlargement require the creation of effective states, in other words of the primacy of hierarchy over network. Networks are created in enlargement and reflect the complexities of public policy but...