Regulatory Spillovers in Common Audit Markets

Volatility spillovers across equity markets: European evidence

This paper examines the issue of volatility spillovers across the three largest European stock markets, namely London, Frankfurt and Paris. The Exponential Generalized Autoregressive Conditional Heteroscedasticity model is used to capture potential asymmetric effects of innovations on volatility. During the period from 01/01/84 to 07/12/93, reciprocal spillovers are found to exist between Londo...

R&D Subsidies, Spillovers and Privatization in Mixed Markets

We examine the use of subsidies to R&D in a mixed and a private duopoly market. We show that the socially optimal R&D subsidy is increasing in the degree of spillovers but it is lower in the private duopoly. The optimal R&D subsidy leads to an increase in total R&D and production, however, it does not lead to the equalisation of per …rm output and therefore to an e¢ cient distribution of produc...

Of Volatility Spillovers In European Government Bond Markets

In this paper we engineer an information mapping of transmission linkages across various European government bond markets. The research introduces a calibration methodology for the application of an optimizing radial basis function (RBF) artificial neural network (ANN). Utilizing a closed-form derivation of the regularization parameter, the Kajiji-4 RBF ANN is known to efficiently minimize the ...

Strategic investment and international spillovers in natural gas markets

This paper presents a game-theoretic analysis of multimarket competition with capacity investments, applied to international gas markets. It identifies a strategic advantage of «focused» pipeline gas producers (e.g., Gazprom) over «diversified» multimarket exporters of liquefied natural gas (e.g., Qatar). Based on this, the paper examines the spillover impacts of the Fukushima nuclear accident ...

Herding, Information Cascades and Volatility Spillovers in Futures Markets