The paper investigates the impact of jumps in forecasting co-volatility, accommodating leverage effects. We modify the … definite. Using this approach we can disentangle the estimates of the integrated co-volatility matrix and jump variations from … the co-jumps of two assets have a significant impact on future co-volatility, but that the impact is negligible for …

A wide variety of conditional and stochastic variance models has been used to estimate latent volatility (or risk). In … both the conditional and stochastic volatility literature, there has been some confusion between the definitions of … volatilities. Then we develop a new asymmetric volatility model, which takes account of small and large, and positive and negative …

relationship between the S&P500 Composite Index and the Volatility Index (VIX), but few empirical studies have focused on the …. Daily data on ETF returns that follow different stock indexes in the USA and Europe are used in the empirical analysis. The …

relationship between the S&P500 Composite Index and the Volatility Index (VIX), but few empirical studies have focused on the … Europe are used in the empirical analysis, which is presented for the full data set, as well as for the three sub …

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