We show that basic materials, financials, industrial, technologies, and telecommunication equity sectors were the primary exporters of volatility from the U.S. and that the magnitude of the spillover increased especially during and post-2008 financial crisis. Investing in low volatility spillover countries generate high Sharpe ratios for U.S. portfolio managers, especially during the financial crisis
This paper develops a Bayesian Global VAR (GVAR) model to track the international transmission dynam...
We examine the spillover effects of local and global shocks on Gulf Cooperation Council (GCC)-wide s...
With the integration of national economies through international trade and finance, the exploration ...
Cross-market linkages allow transmission of shocks among markets. Previous measures of such spillove...
With financial globalization, investors can gain from diversification if returns from financial mark...
We examine the impact of the global financial crisis on the degree of international income and consu...
This paper examines volatility spillovers between the stock and currency markets of ten Asian econom...
This paper empirically analyses the evidence of intra-spillovers and inter-spillovers between foreig...
With the globalization and liberalization of international trade and finance, the interaction betwee...
During the deepest financial crisis in mid 2007-2009, increasing volatility of Indonesian stock mark...
This paper analyzes the impact of global and regional spillovers to GCC equity markets. GCC equity m...
In this paper, we investigate the spillover effects of FOREX and equity markets for USA, Brazil, Ita...
This study is conducted to check volatility spillovers from the US to Emerging seven stock markets b...
Globalization of financial markets has led to stronger relations among different markets and asset c...
We provide a simple and intuitive measure of interdependence of asset returns and/or volatilities. I...
This paper develops a Bayesian Global VAR (GVAR) model to track the international transmission dynam...
We examine the spillover effects of local and global shocks on Gulf Cooperation Council (GCC)-wide s...
With the integration of national economies through international trade and finance, the exploration ...
Cross-market linkages allow transmission of shocks among markets. Previous measures of such spillove...
With financial globalization, investors can gain from diversification if returns from financial mark...
We examine the impact of the global financial crisis on the degree of international income and consu...
This paper examines volatility spillovers between the stock and currency markets of ten Asian econom...
This paper empirically analyses the evidence of intra-spillovers and inter-spillovers between foreig...
With the globalization and liberalization of international trade and finance, the interaction betwee...
During the deepest financial crisis in mid 2007-2009, increasing volatility of Indonesian stock mark...
This paper analyzes the impact of global and regional spillovers to GCC equity markets. GCC equity m...
In this paper, we investigate the spillover effects of FOREX and equity markets for USA, Brazil, Ita...
This study is conducted to check volatility spillovers from the US to Emerging seven stock markets b...
Globalization of financial markets has led to stronger relations among different markets and asset c...
We provide a simple and intuitive measure of interdependence of asset returns and/or volatilities. I...
This paper develops a Bayesian Global VAR (GVAR) model to track the international transmission dynam...
We examine the spillover effects of local and global shocks on Gulf Cooperation Council (GCC)-wide s...
With the integration of national economies through international trade and finance, the exploration ...