framework is suitable to analyse both mean and volatility spillovers, and also allows for possible parameter shifts resulting … food crisis and 2008 financial crisis leading to the most significant shifts in the (volatility) spillovers between the …

) 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 …

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 examines mean and volatility spillovers between four green municipal bonds issued by the US states of …

03/1/2000-12/5/2013. The estimated VAR-GARCH(1,1) model allows for both mean and volatility spillovers and for the …

This paper uses a VAR-GARCH(1,1) model to analyse mean and volatility spillovers between macro news (in the form of …

volatility, namely, seasonality and maturity effects for the pre-financialisation (1993-2003) and post-financialisation (2004 … futures' volatility before the financialisation period, open interest as a measure of liquidity has a negative effect after ….e. volatility of the contract increases as it nears to expiration since financialisation. This confirms the importance of accounting …