Russia. The adopted framework allows to analyse interdependence by estimating volatility spillovers, and also contagion by … testing for possible shifts in the transmission of volatility following the introduction of the euro and EU accession. Further …. Furthermore, whilst the introduction of the euro has had mixed effects, EU accession has resulted in an increase in volatility …

return correlations using weekly returns on futures markets and investigate the extent to which multivariate volatility …

As a function of strike and time to maturity the implied volatility estimation is a challenging task in financial … econometrics. Dynamic Semiparametric Factor Models (DSFM) are a model class that allows for the estimation of the implied … volatility surface (IVS) in a dynamic context, employing semiparametric factor functions and time-varying loadings. Because …

solved by considering heteroscedasticity of the structural volatility innovations, and estimation takes place in an …Information flows across international financial markets typically occur within hours, making volatility spillover … appear contemporaneous in daily data. Such simultaneous transmission of variances is featured by the stochastic volatility …

return correlations using weekly returns on futures markets and investigate the extent to which multivariate volatility …

Russia. The adopted framework allows to analyse interdependence by estimating volatility spillovers, and also contagion by … testing for possible shifts in the transmission of volatility following the introduction of the euro and EU accession. Further …. Furthermore, whilst the introduction of the euro has had mixed effects, EU accession has resulted in an increase in volatility …