a r t i c l e i n f o Due to the connections of energy uses, carbon emissions and climate, this study investigates the interactions, volatility spillovers, and long memory effects for carbon, oil, natural gas and coal markets by using FIEC-HYGARCH model. It also discusses the mediating effect of extreme weather. The empirical results verify that the FIEC-HYGARCH model can capture the long-term ...

We analyze a reduced-form structural relation between currency and equity markets in Indonesia, Malaysia, the Philippines, South Korea, Taiwan and Thailand during the recent Asian crisis using a new non-parametric technique for the identification of regime shifts. We examine both returns and return volatility time series and show how information shocks in these markets moved from country to cou...

In times of uncertainty, the risks associated with engaging in international operations have increased substantially. Country risk reflects the ability and willingness of a country to service its foreign financial obligations. Such risk may be prompted by country-specific and regional economic, financial, political and composite factors. The paper provides a novel analysis of four risk ratings ...

Robust Estimation in Nonlinear Modeling of Volatility Transmission in Stock Market S.B. Ebrahimi * Department of Industrial Engineering, K.N.Toosi University of Technology, Tehran, Iran * Email: [email protected] (Received: 12 September 2015; Revised: 8 May 2016; Accepted: 24 June 2016) Volatility transmission means the connection between different markets in a way that volatility can be tr...

To investigate the interdependence between Indian onion markets in terms of price volatility, present study was conducted four different vital India, viz. Mumbai, Nashik, Delhi and Bengaluru. The long term monthly data, from March, 2003 to September, 2015 collected website agmarknet.nic.in. We have employed VEC-MGARCH model estimate mean volatility spillover simultaneously among also examined n...

This paper investigates the nature of information leadership of the US and Japan in the advanced Asia-Pacific stock markets. Instead of just relying on return and return volatility spillovers from major markets, specific and disaggregated news events are also utilized. In particular, the aim is to examine the nature of spillover effects of scheduled announcements of the US and Japanese macroeco...

Little attention has been paid to information transmission between the portfolios of large stocks and small stocks in the Korean stock market. This study investigates the return and volatility transmission mechanisms between large and small stocks in the Korea Exchange (KRX). This study also explores whether bad news in the large stock market leads to a volatility of the small stock market that...

This paper proposes a new approach to modelling financial transmission effects. In simultaneous systems of stock returns, fundamental shocks are identified through heteroscedasticity. The size of contemporaneous spillovers is determined in the fashion of smooth transition regression by the innovations’ variances and (negative) signs, both representing typical crisis-related magnitudes. Thereby,...