This paper examines the stochastic behaviour of the realized betas within the one-factor CAPM for the six companies …

return correlations using weekly returns on futures markets and investigate the extent to which multivariate volatility …

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 …

volatility índices (namely the originally created RTSVX and the new RVI that has replaced it), using daily data over the period … assumed to follow a white noise or autocorrelated process, it is confirmed by the rolling window estimation, and it holds for …

-Gaussianity and general forms of weakly cross correlated errors. It does not require estimation of an invertible error covariance … against Sharpe-Lintner CAPM and Fama-French three factor models are found mainly during the recent financial crisis. Also we …