This paper examines volatility interdependencies between value and momentum returns. Using U.S. data over the period … 1926-2015, we document persistent periods of low and high volatility spillovers between value and momentum strategies …. Moreover, we find that the intensity of the volatility spillovers may change substantially in very short periods of time and …

-AGARCH) model to examine both return and volatility spillovers from the USA (developed) and China (Emerging) towards eight emerging … calculate the optimal weights and hedge ratios for the stock portfolios. Our results reveal that both return and volatility … volatility was transmitted from the USA to the majority of the Asian stock markets during the Chinese stock market crash …

This study uses the BEKK-GARCH model to examine the return-and-volatility spillover between the world-leading markets … during the global financial crisis and the crash of the Chinese stock market. Regarding volatility spillover, the results … show the bidirectional volatility transmission between the US and the stock markets of Chile and Mexico during the global …

In this paper, we investigate volatility spillovers between oil prices and the stock prices of the companies listed in … hedge ratios to suggest optimal portfolios for investors and portfolio managers. We find significant volatility spillovers …

frequency can be obtained almost as precisely as if volatility is observable by simply incorporating the strong information … content of realized volatility measures extracted from high-frequency data. For this purpose, we introduce asymptotically … exact volatility measurement equations in state space form and propose a Bayesian estimation approach. Our highly efficient …

assets. Building on this idea, we propose the use of a highly flexible and tractable model to forecast the volatility of an …