in specific correlation dynamics. A strong implication emerges: during the period under research, and from a different …

while adjusting for the volatility risk premium. Relative model performance does not change during the global financial …

in specific correlation dynamics. A strong implication emerges: during the period under research, and from a different …

This paper suggests how to quantify asymmetries in volatility spillovers that emerge due to bad and good volatility … stocks at the disaggregate level. Moreover, the spillovers of bad and good volatility are transmitted at different magnitudes …

framework is a bivariate volatility model, where volatility spillovers of either positive or negative sign are allowed for. Our … countries. Regarding the volatility spillovers, such spillovers from bond returns to those of stocks are stronger than the other … results show that by considering time-varying return and volatility spillovers when calculating the risk-minimising portfolio …

-Estimator whose inputs (period used for local volatility calculation and confidence level used for jump detection) were also optimized …

wide variety of stocks, bonds and options. Evidence suggests that both the expected return and the volatility vary over … considerable effort has been devoted to the modelling of time-varying volatility. Recent attention has moved to examining the … daily stock market volatility in a sample of significant emerging stock markets using an Asymetric Volatility Model (ASV …

bubble in American and European equity markets using the dynamic conditional correlation (DCC) model proposed as on one hand …