In this paper, we investigate the spillover effects of forex and equity markets in USA, Brazil, Italy, Germany, and Canada using daily data. Using AR-dialog BEKR model we tested for the contagion & co-movement effect in equity markets during the post financial crises period of 2010-2018. The estimated dynamic conditional correlations show the strongest contagion effects for the pairs of markets as follows: S&P500-BOVESPA, S&P500-FTSEMIB, S&P500-DAX30 and S&P500-S&PTSX. For institutions, multinational corporations, and active investors, a portfolio consisting of financial assets from the above markets is extremely risky.

This paper examines the time-varying conditional correlations between the Eurodollar futures market and the zero coupons of Banca Fideuram. We apply a bivariate dynamic conditional correlation (DCC) GARCH model in order to capture potential contagion effects between the markets for the period 2005-2017. Empirical results reveal contagion during the under-investigation period regarding the twenty-one bivariate models, showing that the Eurodollar futures market has a major impact on the zero coupons of Banca Fideuram. Findings have crucial implications for policymakers who provide regulations for the above-mentioned derivative markets.

This paper examines the time-varying conditional correlations between FIRST BITCOIN CAP and ICE BofA Sterling Zero Coupon markets. We apply ten bivariate DECO-GARCH models in order to capture potential contagion effects between the markets for the period 2007-2020. Empirical results reveal contagion during the under investigation period regarding the ten bivariate models, showing potential volatility transmission channels among the markets. Findings have crucial implications for policymakers who provide regulations for the above derivative markets and for investors, who invest long-term into FIRST BITCOIN CAP.

This paper seeks to investigate the time-varying conditional correlations to the futures FOREX market returns. We employ a dynamic conditional correlation (DCC) Generalized ARCH (GARCH) model to find potential contagion effects among the markets. The under investigation period is 2014-2019. We focus on four major futures FOREX markets namely JPY/USD, KRW/USD, EUR/USD and INR/USD. The empirical results show an increase in conditional correlation or contagion for all the pairsof future FOREX markets. Based on the dynamic conditional correlations, KRW/USD seems to be the safest futures FOREX market. The results are of interest to policymakers who provide regulations for the futures FOREX markets. JEL Classification Codes: C58, C61, G11, G15

In this paper, we examine potential time-varying correlations between crude oil future and USA bond markets. We employ a dynamic conditional correlation (DCC) multivariate GARCH model in order to quantify potential contagion effects between the markets for the period 2005-2020. We divide the period in two sub-period to make the empirical analysis easier. Empirical results reveal increased conditional correlation in the first sub-period (2005)(2006)(2007)(2008)(2009)(2010)(2011)(2012) and no contagion in the second sub-period (2012)(2013)(2014)(2015)(2016)(2017)(2018)(2019)(2020). Results are of interest to investors, who invest long-term into the under investigation financial markets, as well as, to policymakers, who provide regulations for the under investigation derivate market.