“...In the context of a three-moment intertemporal capital asset pricing model specification, we characterize conditional coskewness between stock and bond excess...”

“...The empirical research that is presented herein deals with the process of transferring negative impulses in capital markets during the subprime crisis...”

“...The transmission mechanisms of volatility between markets can be characterized within a new Markov Switching bivariate model where the state of one variable...”

“...We investigate the dynamics of interdependence between realized variances and realized semivariances of six major currencies across frequencies and time...”

“...For this paper, we dynamically analysed the comovements between three major stock markets-Germany, the UK, and the US-and the countries of the European Union,...”

“...Comovements of exchange rates before and during Asian financial crisis are examined using cross-spectral methodology. The paper proposes and implements a...”

“...This article examines the comovement dynamics between the developed European stock markets of the United Kingdom, Germany, France and Austria. After applying a...”

“...This paper investigates the size, value, and momentum effects in 18 emerging stock markets during the period 1990–2013. We find that size and momentum...”

“...We provide a comprehensive analysis of the impact of economic and financial globalization on asset return comovements over the past 35 years. Our globalization...”

“...We investigate economic cycle comovements and identify directions of relationships to discuss the spread of asymmetric shocks across the European Union during...”