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 …

allowing the conditional variance of a particular market to depend on past volatility shocks in other markets. The inter …. Extending the model to incorporate leverage effects leads to further improvement in the volatility fit. We compare weight …

This paper proposes structured parametrizations for multivariate volatility models, which use spatial weight matrices … models as well as for Stochastic- and Realized-Volatility models. The paper also discusses how to construct spatial weight …

In many multivariate volatility models, the number of parameters increases faster than the cross-section dimension …