obtained from conditional variance of returns in stock exchange with GARCH (1,1) model (except Japan stock exchange volatility …). Japanese stock exchange volatility is gained with ARCH (1) model because of its coefficients' significances. In our study, we …

volatility spillovers during global financial crisis and tranquil periods. The resulting market interconnectedness is depicted by … between markets and somewhat weaker temporal effects with regard to the US equity market - volatility spillovers decrease when … markets are characterized by greater temporal proximity. Volatility spillovers also present a high degree of …

Accords in that the jump component of the volatility process does not need to be treated separately for the purpose of stress …

trading. The volatility of yields of the four bonds more than doubled in the wake of the Russian devaluation on August 17th … Zeitraums. Sie basiert auf einem bisher nicht ausgewerteten Datensatz des Bundesamts für den Wertpapierhandel, der jede einzelne …

trading. The volatility of yields of the four bonds more than doubled in the wake of the Russian devaluation on August 17th …