financial markets favours the volatility and return spillover between them. The current study analyses the volatility spillover … proposed by Antonakakis and Gabauer (2017) is used to estimate the evolution in time of volatility spillover. The empirical … results obtained for the period January 2001 - September 2021 highlight the increase in volatility spillover between the …

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 …

domestic volatility after good shocks but a bad hedge after crashes …

In this paper, we estimate, model and forecast Realized Range Volatility, a new realized measure and estimator of the …-known stylized effects present in financial data. We consider an HAR model with asymmetric effects with respect to the volatility and …

volatility (RV) of ten global stock market indices in the period from January 2000 to December 2021. We train models using a …

of the most important components of the financial sector, the equity market played a more and more important role. Thus … facts, volatility clustering and conditional heavy tails, we take advantage of the framework in Guo (2017a) and consider …