It has been established in the literature that volatility of stock returns exhibits complex properties of not only … volatility clustering, but also long memory, regime change, and substantial outliers during turbulent and calm periods. Hence …, this paper seeks to analyze volatility spillover, co-movements, independence and contagion in the Chinese, Japanese …

account impacts from oil price return and oil price volatility on forecast changes. The panel smooth transition regression …

This paper proposes Spillover Persistence as a measure for financial fragility. The volatility paradox predicts that … fragility builds up when volatility is low, which challenges existing measures. Spillover Persistence tackles this challenge by … exploring a novel dimension of systemic risk: loss dynamics. I document that Spillover Persistence declines when fragility …

results show that by considering time-varying return and volatility spillovers when calculating the risk-minimising portfolio … 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 …

In the past decade, the popularity of realized measures and various linear models for volatility forecasting has … the ongoing debate with a comprehensive evaluation of multiple-step-ahead volatility forecasts of energy markets using … commonly used to forecast realized volatility, this paper also contributes to the literature by coupling realized measures with …

group of nonconventional economies like the GCC countries, where risk-sharing based financial system is prominent and … foreign investment, risk-free interest, derivatives, etc. are not as widespread as in Western economies. Design … risk-sharing based financial system does not necessarily protect the stock market from US uncertainty shock. However, the …

volatility. The empirical analysis is mainly conducted using a novel approach based on combining the Diebold and Yilmaz (2014 … January 2004 to May 2022, the empirical results show that the effect of EPU on the volatility of UAE stock markets is time …