Even though the global contagion effects of the financial crisis have been well documented,
the transmission mechanism as well as the nature of the volatility spillovers among the US …

Spurious regression have performed a vital role in the construction of contemporary time
series econometrics and have developed many tools employed in applied macroeconomics …

This study examines the contagion of the US subprime crisis across the world by focusing on
four transmission mechanisms: macroeconomic fundamentals, political similarities …

Sažetak In this paper the authors present the findings of an analyses carried out to establish
whether the BRIC's stock market returns were affected by the US financial stress during the …

This paper proposes a predictive CoVaR measure to analyze asynchronous risk spillovers
between the Chinese stock and futures market. We jointly model the intraday CoVaR …

Se presenta el análisis de los rendimientos de los mercados de valores de mayor
capitalización en el mundo por zona horaria para el período 2009-2015, incluyendo a la …

The aim of this paper is to investigate the return and volatility linkages among the Moroccan
stock market and that of the USA and three European countries (France, Germany and UK) …

This study traces the degree of integration and volatility spillover effect between the
Pakistani and leading foreign stock markets by analyzing the Meteor shower hypothesis …

The Subprime crisis spillovered the returns and volatility from the US stock market to the
other integrated economies. The present study attempts to analyze the stock market linkages …

The present study attempts to empirically analyze the co-movement in the BRIC countries'
stock markets in the long run by employing a Johansen cointegration technique. We have …