We examine the connectedness in energy commodities sector and Russian stock market over period 2005–2020 using variance decomposition approach. Our analysis identifies booms busts correspondence of political war episodes that are related to spillover effects economy, as well markets. findings show Oil & Gas Metals Mining sectors net shock contributors crude oil have highest spillovers other sec...

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...

Forecasting Value-at-Risk (VaR) for financial portfolios is a staggering task in financial risk management. The turmoil in financial markets as observed since September 2008 called for more complex VaR models, as ”standard” VaR approaches failed to anticipate the collective market movements faced during the financial crisis. Hence, recent research on portfolio management mainly focussed on mode...

The paper examines the extent to which the conditional volatility of stock market returns in a small, internationally integrated stock market are related to the conditional volatility of financial and business cycle variables. It employs a low frequency monthly dataset for Australia including stock market returns, interest rates, inflation, the money supply, industrial production and the curren...

This study aims to analyze the transmissions of volatility spillovers from China, Singapore, South Korea, and Japan stock markets Indonesian market prove an asymmetric effect on spillover volatility. The data retrieved index each country in period 2020. analytical method used is Exponential GARCH (EGARCH) specification developed by Nelson (1991). results analysis show that there was no market. ...