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. …

and supervisory arrangements adequate when market volatility increases and financial institutions come under stress? In …

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 …

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

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. …

and the short-run or transitory components of the volatility of daily stock market returns using bivariate mixture models …. For this purpose, the Standard bivariate mixture model of Tauchen and Pitts (1983) in which volatility and volume are … each endowed with their own dynamic behavior are allowed to direct volatility and volume. Since the latent information …

In this paper, we study the dynamic interdependencies between high-frequency volatility, liquidity demand as well as …. Liquidity is causal for future volatility but not vice versa. Furthermore, trade sizes are negatively driven by past trading …