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 … intra-day data. The paper analyses the relationships among the S&P 500 Index and futures prices, returns and volatility of …

. The purpose of this paper is to examine the volatility spillovers for spot and futures returns on bio-ethanol and related … prices, returns and volatility of related agricultural commodities. Analyzing the spillover effects on agricultural … agricultural commodities, specifically corn and sugarcane, using the multivariate diagonal BEKK conditional volatility model. The …

cor-relations and volatility spillovers between crude oil and stock index returns, pricing exotic options using the Wang … transform, the rise and fall of S&P500 variance futures, predicting volatility using Markov switching multifractal model … approach, forecasting volatility via stock return, range, trading volume and spillover effects: the case of Brazil, estimating …

spillovers of shocks, which calculate the delayed effect of a returns shock in one asset on the subsequent volatility or co-volatility … in another asset, and extend the effects of the co-volatility spillovers of shocks to the effects of the co-volatility … spillovers of squared shocks. The empirical results show there are significant positive latent volatility Granger causality …

spillovers of shocks, which calculate the delayed effect of a returns shock in one asset on the subsequent volatility or co-volatility … in another asset, and extend the effects of the co-volatility spillovers of shocks to the effects of the co-volatility … spillovers of squared shocks. The empirical results show there are significant positive latent volatility Granger causality …

Korean Won / New Taiwan $ exchange rate and tourist arrivals from Korea to Taiwan, as well as their associated volatility … and Korean tourist arrivals, to test whether alternative estimates of conditional volatility are sensitive to the long … memory in the conditional mean, and to examine asymmetry and leverage in volatility. The empirical results show that the …

their associated volatility. The sample period includes the Asian economic and financial crises in 1997, and part of the … whether alternative short and long run estimates of conditional volatility are sensitive to the approximate long memory in the … conditional mean, to examine asymmetry and leverage in volatility, and to examine the effects of temporal and spatial aggregation …

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 … intra-day data. The paper analyses the relationships among the S&P 500 Index and futures prices, returns and volatility of …

based on the distribution of inflation and inflation volatility, the size effects of volatility spillovers for firm … liquidity shock, separating information maximum likelihood estimation of the integrated volatility and covariance with micro … illustrations, EVT and tail-risk modelling, with evidence from market indices and volatility series, the economics of data using …

based on the distribution of inflation and inflation volatility, the size effects of volatility spillovers for firm … liquidity shock, separating information maximum likelihood estimation of the integrated volatility and covariance with micro … illustrations, EVT and tail-risk modelling, with evidence from market indices and volatility series, the economics of data using …