We identify networks of volatility spillovers and examine time-varying spillover intensities with daily implied … volatility spillover network and its volatility spillover to other markets has intensified since 2008. Moreover, US quantitative … unconventional monetary policy to volatility spillovers and potential global systemic risk …

This paper investigates the impact of monetary policy surprises by the FED or Bundesbank/ECB on the return volatility … of German stocks and bonds using a GARCH-M model. We show that stock return volatility is susceptible to monetary policy … surprises in the United States, whereas monetary policy surprises in the Euro zone matter for bond return volatility. These …

-market transfer of mean returns and the diffusion of price volatility in Pakistani investment markets. It examines the extent to which … shifts, USD exchange rate volatility, and domestic inflation trends. Employing a methodological arsenal that includes the … assesses the propagation of mean returns and volatility across markets. The analysis uncovers significant linkages between …

In this paper, we investigate the dynamic response of stock market volatility to changes in monetary policy. Using a … vector autoregressive model, our findings reveal a significant and asymmetric response of stock returns and volatility to … monetary policy shocks. Although the increase in the volatility risk premium, futures-trading volume, and leverage appear to …

Changes in residual volatility in vector autoregressive (VAR) models can be used for identifying structural shocks in a … structural VAR analysis. Testable conditions are given for full identification for the case where the volatility changes can be …

Cholesky multivariate stochastic volatility model.It establishes that systematically different dynamic restrictions are imposed … divergent when volatility clusters idiosyncratically.It is illustrated that this property is important for empirical …