model specifications, volatility effects and other robustness considerations continue to support our results. These results …

true with variance and covariance behaviour. Volatility spillovers across countries exhibit a substantial amount of time …, Japan exhibit a distinct nature compared with those of Germany, the UK and the US. The results presented here provide a …

We investigate whether range-based estimators contain information in forecasting realized volatility within a HAR … findings suggest that while no single model dominates, overnight return volatility achieves the most consistency. For example …, forecasts for CAC and DAX indices are improved only by overnight volatility, with some evidence also for SPX. For other indices …

, which are the largest volatility senders and receivers. China emerges are generally the least sensitive market to external …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 …