The transmission mechanisms of volatility between markets can be characterized within a new Markov Switching bivariate …

frequency volatilities and correlations ; Dynamic conditional correlation ; Spline-GARCH ; Idiosyncratic volatility ; Long …

framework is a bivariate volatility model, where volatility spillovers of either positive or negative sign are allowed for. Our … countries. Regarding the volatility spillovers, such spillovers from bond returns to those of stocks are stronger than the other … results show that by considering time-varying return and volatility spillovers when calculating the risk-minimising portfolio …

account for asymmetries of return and volatility spillover effects from the US equity market into Canada and Mexico. Unlike … previous research, we model the conditional volatility of the returns in each of the three markets using the asymmetric power … model of Ding, Granger and Engle (1993). The empirical results indicate that volatility spillover effects, but not mean …

theory assumes that return shocks can be caused by changes in conditional volatility through a time-varying risk premium. On … leverage effect and the volatility feedback effect. We stress the importance of distinguishing between realized volatility and … implied volatility, and find that implied volatilities are essential for assessing the volatility feedback effect. The …

We propose a methodology to include night volatility estimates in the day volatility modeling problem with high … the natural relationship between the realized measure and the conditional variance. This improves volatility modeling by … leverage effect and maintains a mathematical structure that facilitates volatility estimation. A class of bivariate models that …

Section C, we provide the formulas of the marginal impact of volatility on correlations for each VDCC model. In Section D, we … detail the estimation method and the results behind our findings about the long-run and short-run effects of the volatility …