intra-day data. The paper analyses the relationships among the S&P 500 Index and futures prices, returns and volatility of … intra-day temporal aggregation in examining returns relationships and volatility spillovers across the equity and energy … futures markets, and the effects of overnight returns, volume, realized volatility, asymmetry, and spillovers across the four …

volatility models(such as GARCH and stochastic volatility). Within the class of realized covariance models we focus on the …

assets. Building on this idea, we propose the use of a highly flexible and tractable model to forecast the volatility of an …

Dynamic Conditional Correlation (DCC) model by allowing for a clustering structure of the univariate GARCH parameters. The … model can be estimated in two steps, the first devoted to the clustering structure, and the second focusing on correlation …

Conditional Correlation (DCC) representation for estimating and forecasting time-varying conditional correlations. The reasons … properties; DCC is not a special case of Generalized Autoregressive Conditional Correlation (GARCC), which has testable …