of volatility through time. We are particularly interested in understanding whether periods of high volatility spillover … across countries. Our analysis relies both on univariate and bivariate switching volatility models. Our results indicate that … high-volatility episodes are, in general, short-lived, lasting from two to seven weeks. We find some weak evidence of …

econometric performance of regime-switching models for interest rate data from the US, Germany and the UK. There is strong … shocks on economic aggregates. Moreover, the implied volatility and drift functions are rich enough to resemble those …

bonds between high yielders, namely Italy, Spain, Sweden and Germany. In particular we address the question of the relative …

forecasting of daily and lower frequency volatility and return distributions. Most procedures for modeling and forecasting … ARCH or stochastic volatility models, which often perform poorly at intraday frequencies. Use of realized volatility … variation, we formally develop the links between the conditional covariancematrix and the concept of realized volatility. Next …