This paper analyses the dynamic transmission mechanism of volatility spillovers between key global financial indicators and G20 stock markets. To examine the volatility spillover relations a bivariate GARCH-BEKK model, which captures volatility spillovers, is combined with complex network...

We investigate whether range-based estimators contain information in forecasting realized volatility within a HAR-RV-X framework and applied to G7 stock markets. Using a rolling window approach and QLIKE, HMSE and MCS forecast criteria, overall findings suggest that while no single model...