{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,10,24]],"date-time":"2025-10-24T07:57:59Z","timestamp":1761292679120},"reference-count":35,"publisher":"World Scientific Pub Co Pte Lt","issue":"04","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Int. J. Info. Tech. Dec. Mak."],"published-print":{"date-parts":[[2009,12]]},"abstract":"<jats:p> Oil economies in the Former Soviet Union (FSU) region, with geographical proximity to each other, are usually impacted by some common risk factors, which make their country risks closely correlated. This paper focuses on correlation between country risks and investigates the spillovers of country risk returns (CRR). Taking Russia and Kazakhstan for example, firstly, this paper identifies the structural breaks in CRR series, using iterated cumulative sums of squares (ICSS) algorithm. Secondly, on the assumption that there may be similarity in structural breaks of CRR series of the two countries, Vector Autoregression (VAR) process and Granger causality test are used to identify whether there are mean spillovers of CRR series. Finally, the volatility spillovers are captured by using multivariate conditional volatility models in the framework of the BEKK models. Empirical results show that (1) there are significant unidirectional mean spillovers from Russia to Kazakhstan; (2) there are asymmetric bidirectional volatility spillovers between Russia and Kazakhstan; and volatility spillover effects from Russia to Kazakhstan are stronger. <\/jats:p>","DOI":"10.1142\/s0219622009003570","type":"journal-article","created":{"date-parts":[[2010,1,26]],"date-time":"2010-01-26T20:22:19Z","timestamp":1264537339000},"page":"803-818","source":"Crossref","is-referenced-by-count":25,"title":["MODELING DYNAMIC CORRELATIONS AND SPILLOVER EFFECTS OF COUNTRY RISK: EVIDENCE FROM RUSSIA AND KAZAKHSTAN"],"prefix":"10.1142","volume":"08","author":[{"given":"JIANPING","family":"LI","sequence":"first","affiliation":[{"name":"Institute of Policy &amp; Management Chinese Academy of Sciences, Beijing 100190, P. R. China"}]},{"given":"XIAOLEI","family":"SUN","sequence":"additional","affiliation":[{"name":"Institute of Policy &amp; Management Chinese Academy of Sciences, Beijing 100190, P. R. China"},{"name":"Graduate University of Chinese Academy of Sciences, Beijing 100039, P. R. China"}]},{"given":"WAN","family":"HE","sequence":"additional","affiliation":[{"name":"School of Economics, Renmin University of China, Beijing, 100872, P. R. China"}]},{"given":"LING","family":"TANG","sequence":"additional","affiliation":[{"name":"Institute of Policy &amp; Management Chinese Academy of Sciences, Beijing 100190, P. R. China"},{"name":"Graduate University of Chinese Academy of Sciences, Beijing 100039, P. R. China"}]},{"given":"WEIXUAN","family":"XU","sequence":"additional","affiliation":[{"name":"Institute of Policy &amp; Management Chinese Academy of Sciences, Beijing 100190, P. R. 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