We assess the predictive accuracy of a large number of multivariate volatility models in terms of pricing options on …

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

numerical example, we find that the proposed more general asymmetric volatility model has better fit, higher persistence of … threshold GARCH family and propose a more general Spline-GTARCH model, which captures high-frequency return volatility, low …-frequency macroeconomic volatility as well as an asymmetric response to past negative news in both autoregressive conditional …

Examinations of the dynamics of daily returns and volatility in stock markets of the US, Hong Kong and mainland China … the US to the other three markets; but no spillover between Hong Kong and either of the two mainland China markets; (2 …

characterized by volatility clustering and asymmetry. Also revealed as a stylized fact is Long memory or long range dependence in … market volatility, with significant impact on pricing and forecasting of market volatility. The implication is that models … that accomodate long memory hold the promise of improved long-run volatility forecast as well as accurate pricing of long …

The transmission mechanisms of volatility between markets can be characterized within a new Markov Switching bivariate … restrictions and hypotheses can be tested to stress the role of one market relative to another (spillover, interdependence … the long run with a spillover from Hong Kong to Korea and Thailand, interdependence with Malaysia and comovement with …