updating the concept of ‘volatility surprise’ to capture cross-market relationships. Current methods for measuring spillovers … do not focus on volatility interactions, and neglect cross-effects between the conditional variances. This paper aims to … commodities from 1983 to 2013. The results provide strong evidence of spillover effects coming from the ‘volatility surprise …

updating the concept of ‘volatility surprise’ to capture cross-market relationships. Current methods for measuring spillovers … do not focus on volatility interactions, and neglect cross-effects between the conditional variances. This paper aims to … commodities from 1983 to 2013. The results provide strong evidence of spillover effects coming from the ‘volatility surprise …

To assess how financial markets and commodities are inter-related, this paper introduces a ‘volatility surprise … returns and volatility allow to influence pairs of assets, and derive several case studies linking commodities to stocks …, bonds and currencies from 1983 to 2013. The innovative feature of our model is that these volatility spillovers are modeled …

To assess how financial markets and commodities are inter-related, this paper introduces a ‘volatility surprise … returns and volatility allow to influence pairs of assets, and derive several case studies linking commodities to stocks …, bonds and currencies from 1983 to 2013. The innovative feature of our model is that these volatility spillovers are modeled …

updating the concept of ‘volatility surprise’ to capture cross-market relationships. Current methods for measuring spillovers … do not focus on volatility interactions, and neglect cross-effects between the conditional variances. This paper aims to … commodities from 1983 to 2013. The results provide strong evidence of spillover effects coming from the ‘volatility surprise …

updating the concept of ‘volatility surprise’ to capture cross-market relationships. Current methods for measuring spillovers … do not focus on volatility interactions, and neglect cross-effects between the conditional variances. This paper aims to … commodities from 1983 to 2013. The results provide strong evidence of spillover effects coming from the ‘volatility surprise …

markets and the common market for currency. We estimate volatility, spillovers-both in returns and in volatility, and cross … index influence U.S. money market rates and returns on both the stock markets. The study reveals that volatility in all the … markets surges post the global financial crisis of 2008-09. Spillovers in volatility across the markets are found to be …

products and the return volatility of their underlying assets. The study addressesthe case of five stock markets, members of … frequencies.The futures equity index volume Granger-causes the positive shocks in terms of volatility in thelong run and the …

We investigate the role of jumps in transmitting volatility between foreign exchange markets (Engle, Ito, and Lin, 1990 … different implications for the impact of jumps on exchange rate volatility transmission. Specifically, isolated and successive … jumps have opposite predictions for future volatility. Although the realized volatility literature finds that heat wave …

European Union. Finally, the estimated correlations exhibit significant relationship with conditional volatility with a …