Information flows across international financial markets typically occur within hours, making volatility spillover … appear contemporaneous in daily data. Such simultaneous transmission of variances is featured by the stochastic volatility … solved by considering heteroscedasticity of the structural volatility innovations, and estimation takes place in an …

The present study addresses the economic interpretation of stock market volatility. We argue that its character is … volatility. This exploits the revealed reaction of investors to gauge the degree of information and uncertainty ascribed to … volatility. We estimate simultaneous timevarying coefficient models, using data of US and further stock markets. We find the …

Examinations of the dynamics of daily returns and volatility in stock markets of the US, Hong Kong and mainland China …

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 …

value robust volatility estimator with respect to the standard robust volatility estimator as proposed in the paper by … Muneer & Maheswaran (2018b). We show that the robust volatility ratio is unbiased both in the population as well as in finite … samples. We empirically test the robust volatility ratio on 9 global stock indices from America, Asia Pacific and EMEA markets …

financial markets favours the volatility and return spillover between them. The current study analyses the volatility spillover … among the stock markets in the countries from Central and East Europe (CEE) and Germany and France with the aim to identify … proposed by Antonakakis and Gabauer (2017) is used to estimate the evolution in time of volatility spillover. The empirical …

volatility and the persistence of the German stock index have fallen significantly relative to those of the U.S. index. However …

Russia. The adopted framework allows to analyse interdependence by estimating volatility spillovers, and also contagion by … testing for possible shifts in the transmission of volatility following the introduction of the euro and EU accession. Further …. Furthermore, whilst the introduction of the euro has had mixed effects, EU accession has resulted in an increase in volatility …

In the academic literature, the economic interpretation of stock market volatility is inherently ambivalent, being … volatility-dependent cross-market spillovers. If higher volatility in one market leads to higher (lower) reactions in another … market, volatility reflects information (uncertainty). We introduce a simultaneous time-varying coefficient model, where …