contracts. The implications of these results for hedging and forecasting crude oil spot prices are also discussed. …

volatility spillovers during global financial crisis and tranquil periods. The resulting market interconnectedness is depicted by … between markets and somewhat weaker temporal effects with regard to the US equity market – volatility spillovers decrease when … markets are characterized by greater temporal proximity. Volatility spillovers also present a high degree of …

This paper suggests how to quantify asymmetries in volatility spillovers that emerge due to bad and good volatility … stocks at the disaggregate level. Moreover, the spillovers of bad and good volatility are transmitted at different magnitudes …

This paper suggests how to quantify asymmetries in volatility spillovers that emerge due to bad and good volatility … stocks at the disaggregate level. Moreover, the spillovers of bad and good volatility are transmitted at different magnitudes …

contracts. The implications of these results for hedging and forecasting crude oil spot prices are also discussed …

news and commodity returns (Gold, Corn, Wheat, Soybeans, Silver, Platinum, Palladium, Copper, Aluminium and Crude Oil) over … Gold and Silver. Volatility spillovers are bigger in size and affect most commodity returns. Both first and second moment … can be summarised as follows. Mean spillovers running from news to commodity returns are positive with the exception of …

. Positive (negative) news have significant positive (negative) effects on stock returns in all cases. Their volatility has a … significant impact on both stock returns and volatility; specifically, an increase in news volatility is always associated with a …This paper analyses the effects of newspaper coverage of macro news on stock returns in eight countries belonging to …

. Realized volatility is a technical innovation that allows specifying a system of equations for returns, realized volatility …We use realized volatility to study the influence of central bank interventions on the yen/dollar exchange rate … increase in volatility associated with interventions. During the period 1999 through 2004, the estimations are consistent with …

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 …

management. Evaluation of volatility models is then considered and a simple Value-at-Risk (VaR) diagnostic test is proposed for …This paper considers the problem of model uncertainty in the case of multi-asset volatility models and discusses the … use of model averaging techniques as a way of dealing with the risk of inadvertently using false models in portfolio …