)variances of the US Dow Jones and the German stock index DAX, we analyze intra-daily volatility spillovers between the US and …-synchronous and partially overlapping opening hours of the two markets. We find evidence of significant short-term volatility …-term volatility shocks is considerably higher and the spillovers effects between the US and the German stock markets are significantly …

describe the most typical features of capital markets like volatility clustering, excess kurtosis and fat tails. As empirical … evidence shows asymmetry is also a prominent feature of stock market returns volatility. The reaction of risk if stock returns …

The paper presents an empirical study of volatility spillover from oil prices to stock markets within an asymmetric … evidence of volatility spillover is found for all stock markets but the Swedish one, where only weak evidence is found. News … impact surfaces show that, although statistically significant, the volatility spillovers are quantitatively small. The stock …

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. …

In this paper we examine the issue of asymmetry in the return and volatility spillover effects from the US equity … market into the Canadian and Mexican equity markets. We model the conditional volatility of the returns in each of the three … considerably from those for Mexico. In particular, the empirical results indicate that volatility spillover effects, but not return …

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 …

Russia. The adopted framework allows to analyse interdependence by estimating volatility spillovers, and also contagion by … testing for possible shifts in the transmission of volatility following the introduction of the euro and EU accession. Further …. Furthermore, whilst the introduction of the euro has had mixed effects, EU accession has resulted in an increase in volatility …

As a function of strike and time to maturity the implied volatility estimation is a challenging task in financial … volatility surface (IVS) in a dynamic context, employing semiparametric factor functions and time-varying loadings. Because … financial asset volatilities move over time, across assets and over markets, this paper analyses volatility interaction between …