behind narrative sign restrictions and allows to extract time varying contemporaneous effects and volatility transmission … from conventional reduced form volatility models with dynamic correlations. We find the market value of banking …

of heavily traded at the money options. -- GARCH ; Foreign exchange market volatility ; Structural stability … - 1998, namely FX-rates measured against the US dollar (USD) and the Japanese yen (JPY). Ta account for volatility e1ustering … we fit a GARCH(l,l)-model with leptokurtic innovations. Its parameters are not stable over the sample period and two …

Multivariate Volatility Models belong to the class of nonlinear models for financial data. Here we want to focus on … multivariate GARCH models. These models assume that the variance of the innovation distribution follows a time dependent process … univariate GARCH specifications where cross sectional dependecies are ignored. Moreover, to illustrate the scope of the bivariate …