over the last 30 years. First, we develop a new structural regime-switching volatility spillover model to decompose total … (negative) effect of the structural factors on country betas (country-specific volatility), especially in Europe, while industry …

financial instruments in the portfolio and on the volatility of those returns.This task is relatively simple if the correlations … and volatilities do not change over time.But in reality both volatility and stock market indexes’ correlations do change …

-parametric regression approach to next-day volatility forecasting. A second finding is that the GARCH(1,1) model severely over-estimated the … unconditional variance leads to poor volatility forecasts during the period under discussion with the MSE of GARCH(1,1) 1-year ahead … volatility more than 4 times bigger than the MSE of a forecast based on historical volatility. We test and reject the hypothesis …

considerably increased exhibiting a certain level of correlation. We find signs of a co-movement effect between the volatilities of …, using a bivariate SWARCH model to show the dependence of the high and low volatility states of the IT.CAC on the NASDAQ-100 …, with no intermediate simultaneous high-low volatility states. …

modeling this market’s high volatility to prevent against crises.The strong linkage of the American and European New Technology …

main partners using panel data methods that incorporate serial and contemporaneous correlation. We find strong rejections …