sharp contrast, when the information contained in high frequency data is used to construct the realized volatility measures …

formulate and examine precise and separate measures of return spillovers and volatility spillovers. Our framework facilitates … evidence of divergent behavior in the dynamics of return spillovers vs. volatility spillovers: Return spillovers display a … gently increasing trend but no bursts, whereas volatility spillovers display no trend but clear bursts. …

seasonal pattern for the conditional volatility for the Swedish stock market has been found. The daily turnover in the Swedish … stock market has an impact on and eliminates to some extent seasonal patterns in conditional volatility. The daily turnover … correlated. We can also conclude that a feedback from the US stock market to the conditional volatility in the Swedish market …

The main aim of this paper is to verify the dynamic interdependence and transmission of volatility from the American … political, regardless of the international scenario ("critical events"), affected the volatility of the Brazilian stock market …

This study investigates volatility spillovers between two stock markets, Turkish and Brazilian, located in different … volatility spillovers from Istanbul Stock Exchange (ISE) to São Paulo Stock Exchange (BOVESPA). The results imply that financial … crises may change the size and the direction of volatility spillovers between markets. …

Information flows 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 … solved by considering heteroscedasticity of the structural volatility innovations, and estimation takes place in an …

Most of the empirical applications of the stochatic volatility (SV) model are based on the assumption that the … conditional distribution of returns given the latent volatility process is normal. In this paper the SV model based on a … choice of the conditional distribution has systematic effects on the parameter estimates of the volatility process. …