) and the subsequent European Sovereign Debt Crisis (ESDC). The spillover index captures the transmission of volatility to …This paper applies two measures to assess spillovers across markets: the Diebold Yilmaz (2012) Spillover Index and the … Hafner and Herwartz (2006) analysis of multivariate GARCH models using volatility impulse response analysis. We use two sets …

The paper develops a novel realized matrix-exponential stochastic volatility model of multivariate returns and realized … tests for leverage and spillover effects in the covariance dynamics. Efficient importance sampling is used to maximize the …. The volatility and co-volatility spillovers are examined via the news impact curves and the impulse response functions …

most important factor in reducing portfolio variance is the use of a flexible model for time varying volatility, rather … good on the present set of measures as the stochastic volatility models, with or without dynamic correlation. …

using volatility impulse response analysis. The data set features ten years of daily returns series for the New York Stock … independent shocks on volatility through time, while avoiding typical orthogonalization and ordering problems. Volatility impulse … response functions (VIRF) provide information about the impact of independent shocks on volatility. HHś VIRF extends a …

dynamics adapts to the non-normal nature of financial data, which helps to robustify the volatility estimates. The new model … volatility forecasting of stock returns and exchange rates. …