Information ows across international financial markets typically occur within hours, making volatility spillover appear … contemporaneous in daily data. Such simultaneous transmission of variances is featured by the stochastic volatility model developed in … heteroscedasticity of the structural volatility innovations, and estimation takes place in an appropriately specified state space setup …

Adverse shocks to stock markets propagate across the world, with a jump in one region of the worldseemingly causing an … increase in the likelihood of a different jump in another region of the world.To capture this effect mathematically, we … introduce a model for asset return dynamics with a driftcomponent, a volatility component and mutually exciting jumps known as …