estimation of a VAR-GARCH model. The results can be summarized as follows. Negative news have significant positive effects on … reaction has increased during the recent financial crisis. News volatility has a significant impact on yield spread volatility …

In this paper we model the volatility of the spread between the overnight interest rate and the central bank policy … 2007. During the crisis, the policy spread exhibited signs of volatility, owing to the breakdown in interbank market … activity. The determinants of this volatility are assessed using Stochastic Volatility models to gauge the role played by …

- 2013. The econometric analysis is based on the estimation of a VAR-GARCH-in-mean model. The results can be summarised as … follows. Positive (negative) news have significant positive (negative) effects on stock returns in all cases. Their volatility … has a significant impact on both stock returns and volatility; specifically, an increase in news volatility is always …

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. …

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

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