temporal aggregation and other features of the data, and how they might affect the degree of dependence of the series …. -- high frequency data ; long memory ; volatility persistence ; structural breaks …

response analysis. Second, we examine the announcements effects on market volatility in a more detailed fashion by … adequately analyze both conditional mean and volatility effects. …

This paper applies volatility measures and VAR spectral analytic techniques to give a thorough description of the ….The central findings are summarized with regard to (i) national product share, contribution-to-variance and volatility …

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

) analysis. Such restrictions are typically just-identifying but can be checked by utilizing changes in volatility. This paper … reviews and contrasts the volatility models that have been used for this purpose. Three main approaches have been used …, exogenously generated changes in the unconditional residual covariance matrix, changing volatility modelled by a Markov switching …

A growing literature uses changes in residual volatility for identifying structural shocks in vector autoregressive … in applications in this context. This study reviews the different volatility models and points out their advantages and …