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 …

. -- High frequency data ; long memory ; volatility persistence ; structural breaks …

volatility (d = 0.80) is also confirmed. …

data ; long memory ; volatility persistence ; structural breaks …

. The results indicate that persistence is higher at lower frequencies, for both returns and their volatility. This is true …

Changes in residual volatility in vector autoregressive (VAR) models can be used for identifying structural shocks in a … structural VAR analysis. Testable conditions are given for full identification for the case where the volatility changes can be …

suggests that oil price volatility affects stock returns positively during periods characterised by demand-side shocks in all …

) 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 …

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