conditional variances determine the persistence of the transmitted volatility innovations. In particular, the influence of a …This paper analyzes volatility spillovers in multivariate GARCH-type models. We show that the cross-effects between the … foreign volatility innovation on a conditional variance is even more persistent than an own innovation unless this effect is …

is utilized to investigate shocks and volatility spillover of the rates. The estimated DCC-GARCH (1, 1) reveals that …, 1) model. Furthermore, the effects of news (shocks spillover) are bi-directional across the markets. However, volatility … spillover is unidirectional, from exchange rate to interest rate, suggesting that, calming the volatility in foreign exchange …

conditional variances determine the persistence of the transmitted volatility innovations. In particular, the effect of a foreign …This paper analyzes volatility spillovers in multivariate GARCH-type models. We show that the cross-effects between the … volatility innovation on a conditional variance is even more persistent than the effect of an own innovation unless it is offset …

) and the subsequent European Sovereign Debt Crisis (ESDC). The spillover index captures the transmission of volatility to …This paper applies two measures to assess spillovers across markets: the Diebold Yilmaz (2012) Spillover Index and the … Hafner and Herwartz (2006) analysis of multivariate GARCH models using volatility impulse response analysis. We use two sets …

allows for volatility feedback of either sign, i.e., positive or negative. In the previous literature, negative volatility … GARCH processes ; volatility feedback …

; Dynamic conditional correlation ; Return comovement ; Volatility model evaluation …

We propose an asymptotic N(0, 1) inferential strategy to test for volatility spillover between markets consisting of … multivariate volatility modeling approach — which enjoys estimation consistency and simplicity — to facilitate higher dimensional … spillover testing. Simulations show the reasonable finite sample performance of the proposed econometric strategy in a …

spreading risk, and Ireland and Spain are the most susceptible receivers of spillover effects that can be traced back to a …