This paper accounts for fat tails and serial dependence for implied volatility index network
connections among equity and commodity markets using Bayesian vector heterogeneous …

This diploma thesis introduces the measures of network connectedness in the context of
asset pricing. It proposes an asset pricing model in which the factor of connectedness is …

This paper accounts for fat tails and serial dependence for implied volatility index network
connections among equity and commodity markets using Bayesian vector heterogeneous …

This paper analyses return and volatility spillovers across the five largest and oldest African
equity markets, namely: South Africa, Morocco, Egypt, Nigeria and Tunisia. The time-domain …