The paper considers the problem as to whether financial returns have a common volatility process in the framework of … stochastic volatility models that were suggested by Harvey et al. (1994). We propose a stochastic volatility version of the ARCH … test proposed by Engle and Susmel (1993), who investigated whether international equity markets have a common volatility …

return and volatility spillover between the S&P 500 and 12 Asian stock markets using weekly data from January 2000 to … February 2020. DECO-GARCH models are employed to measure volatility transmission between markets. A generalized VAR, variance … the interdependence of the conditional returns, conditional volatility, and conditional correlations between the stock …

The paper considers the problem of volatility co-movement, namely as to whether two financial returns have perfectly … correlated common volatility process, in the framework of multivariate stochastic volatility models and proposes a test which … checks the volatility co-movement. The proposed test is a stochastic volatility version of the co-movement test proposed by …

. The volatility and co-volatility spillovers are examined via the news impact curves and the impulse response functions …The paper develops a novel realized matrix-exponential stochastic volatility model of multivariate returns and realized … from returns to volatility and co-volatility. …

average of spillovers over a period, whilst volatility impulse responses (VIRF) have to be calibrated to conditional …This paper applies two measures to assess spillovers across markets: the Diebold Yilmaz (2012) Spillover Index and the … Hafner and Herwartz (2006) analysis of multivariate GARCH models using volatility impulse response analysis. We use two sets …

Litecoin), this study examines the return and volatility spillover between these cryptocurrencies during the pre-COVID-19 … period and the COVID-19 period. We also estimate the optimal weights, hedge ratios, and hedging effectiveness during both … sample periods. We find that the return spillovers vary across the two periods for the Bitcoin-Ethereum, Bitcoin …

spillovers to the local stock exchange index and to the government bond secondary market prices. Moreover, a high correlation …