We estimate a large Bayesian time-varying parameter vector autoregressive (TVP-VAR) model of daily stock return volatilities for 35 U.S. and European financial institutions. Based on that model we extract a connectedness index in the spirit of Diebold and Yilmaz (2014) (DYCI). We show that the...

We extend the important idea of range-based volatility estimation to the multivariate case. In particular, we propose a range-based covariance estimator that is motivated by financial economic considerations (the absence of arbitrage), in addition to statistical considerations. We show that,...