increases of the variance risk-premium, and possess a statistically significant forecasting power for future volatility and …

breaks in volatility spillovers. Particularly during the financial crisis of 2007, we find effects consistent with the notion … find the latter to be the main driver of breaks in volatility spillovers. Taking the volatility of realized volatilities …This paper conducts an investigation of volatility transmission between stock markets in Hong Kong, Europe and the …

Dynamic jumps in the price and volatility of an asset are modelled using a joint Hawkes process in conjunction with a … integrated volatility and price jumps, to the specified model components; with Bayesian inference conducted using a Markov chain …

2011 has spilled over the rest of the Euro-area. To this end, we rely on a new class of contagion tests based on Smooth … Transition Conditional Correlation GARCH models (STCC-GARCH). Our results highlight the existence of contagion and “wake-up call …

framework by Diebold and Yilmaz (2011), we quantify spillovers between sovereign credit markets and banks in the euro area …. Spillovers are estimated recursively from a vector autoregressive model of daily CDS spread changes, with exogenous common … transmission from or to sovereigns and banks are aggregated as a Contagion index (CI). This index is disentangled into four …

model of solvency contagion. Within an equilibrium model, we measure the contagion by identifying the direct effect of an …

2011 has spilled over the rest of the Euro-area. To this end, we rely on a new class of contagion tests based on Smooth … Transition Conditional Correlation GARCH models (STCC-GARCH). Our results highlight the existence of contagion and â …

oil–stock price relationship at different time scales, in revealing contagion and interdependence between oil and stock … gas company stock). At both levels, however, with the onset of the financial crisis we found evidence of contagion and …