We define risk spillover as the dependence of a given asset variance on the past covariances and variances of other … assets. Building on this idea, we propose the use of a highly flexible and tractable model to forecast the volatility of an … international equity portfolio. According to the risk management strategy proposed, portfolio risk is seen as a specific combination …

estimation and forecast of financial volatility. The research, chapter by chapter is summarized below. Chapter 1 provides … ; volatility asymmetry ; mixed frequency model ; conditional correlation ; risk evaluation … empirical evidence on univariate realized volatility forecasting in relation to asymmetries present in the dynamics of both …