conditional variances determine the persistence of the transmitted volatility innovations. In particular, the influence of a …This paper analyzes volatility spillovers in multivariate GARCH-type models. We show that the cross-effects between the … foreign volatility innovation on a conditional variance is even more persistent than an own innovation unless this effect is …

is utilized to investigate shocks and volatility spillover of the rates. The estimated DCC-GARCH (1, 1) reveals that …, 1) model. Furthermore, the effects of news (shocks spillover) are bi-directional across the markets. However, volatility … spillover is unidirectional, from exchange rate to interest rate, suggesting that, calming the volatility in foreign exchange …

conditional variances determine the persistence of the transmitted volatility innovations. In particular, the effect of a foreign …This paper analyzes volatility spillovers in multivariate GARCH-type models. We show that the cross-effects between the … volatility innovation on a conditional variance is even more persistent than the effect of an own innovation unless it is offset …

) 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 …

allows for volatility feedback of either sign, i.e., positive or negative. In the previous literature, negative volatility … GARCH processes ; volatility feedback …

We assess the predictive accuracy of a large number of multivariate volatility models in terms of pricing options on …

framework. However, little is known about the ranking of multivariate volatility models in terms of their forecasting ability …. The ranking of multivariate volatility models is inherently problematic because it requires the use of a proxy for the … unobservable volatility matrix and this substitution may severely affect the ranking. We address this issue by investigating the …

; Dynamic conditional correlation ; Return comovement ; Volatility model evaluation …