As a function of strike and time to maturity the implied volatility estimation is a challenging task in financial … to cointegration. -- implied volatility surface ; dynamic semiparametric factor model ; VAR ; cointegration … econometrics. Dynamic Semiparametric Factor Models (DSFM) are a model class that allows for the estimation of the implied …

It has been established in the literature that volatility of stock returns exhibits complex properties of not only … volatility clustering, but also long memory, regime change, and substantial outliers during turbulent and calm periods. Hence …, this paper seeks to analyze volatility spillover, co-movements, independence and contagion in the Chinese, Japanese …

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 …