This paper estimates a bivariate HEAVY system including daily and intra-daily volatility equations and its macro …-augmented asymmetric power extension. It focuses on economic factors that exacerbate stock market volatility and represent major threats to … commodity markets on stock market realized volatility. Specifically, Economic Policy Uncertainty is shown to be one of the main …

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 …

return correlations using weekly returns on futures markets and investigate the extent to which multivariate volatility … version of the Gaussian dynamic conditional correlation (DCC) model proposed by Engle (2002), and show that the t-DCC model …

in specific correlation dynamics. A strong implication emerges: during the period under research, and from a different …

is poor, asset return correlation affects ownership structure in a positive way. Higher return correlation lowers the … countries where stock return correlation is higher, and that the magnitude of this effect is larger in countries where investor …

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 …