This paper adopts a VAR-GARCH approach to model the dynamic linkages between both the mean and the variance of macro … Gold and Silver. Volatility spillovers are bigger in size and affect most commodity returns. Both firstand second moment … financial assets, are sensitive to macro news (especially their volatility), and also suggest that the global financial crisis …

This paper examines the relationship between aggregate insider trading (AIT) and stock market volatility using monthly … specifically, a Vector Autoregression (VAR) model is estimated and Impulse Response analysis as well as Forecast Error Variance …-run increase in stock market volatility; this can be attributed to a combination of insiders manipulating the timing and content of …

stock market returns. This paper analyses it using US monthly data over the period 2000:1-2015:08. A VAR-GARCH(1,1)-in … post-September 2008 period. There are also volatility spillovers from stock market returns to equity fund flows both before …

volatility índices (namely the originally created RTSVX and the new RVI that has replaced it), using daily data over the period …

This paper aims to select the best model or set of models for modelling volatility of the four most popular … exchange rates of each of these cryptocurrencies to estimate a one-step ahead prediction of Value-at-Risk (VaR) and Expected … Shortfall (ES) on a rolling window basis. The best model or superior set of models is then chosen by backtesting VaR and ES as …

This paper examines mean and volatility spillovers between four green municipal bonds issued by the US states of … respectively. Specifically, four-variate VAR-GARCH-BEKK models are estimated which include suitably defined dummies corresponding …

This paper examines volatility spillovers from mature to emerging stock markets and tests for changes in the …. -- Volatility spillovers ; contagion ; stock markets ; emerging markets …