... identifies transmission channels between these commodity and financial markets. The authors are also the first to use the quasi-maximum likelihood (QML) estimator to estimate the DCC model to measure the volatility spillover index to reflect the level of interdependence between the different markets...

...Daniel Sungyeon Kim; Lizhe Luo; Domenico Tarzia; Giovanni Vittorino; Andros Gregoriou Purpose The authors study the effectiveness of the anti-corruption campaign in all of mainland China's provinces in terms of risk and volatility spillovers. Design/methodology/approach A nonlinear model...

...Sanjay Sehgal; Wasim Ahmad; Florent Deisting Purpose – The purpose of this paper is to examine the price discovery and volatility spillovers in spot and futures prices of four currencies (namely, USD/INR, EURO/INR, GBP/INR and JPY/INR) and between futures prices of both stock exchanges namely...