. A state-dependent volatility spillover GARCH hedging strategy is developed to capture the regime switching global equity … volatility spillover effect. Empirical results show that the NFNE futures exhibit superior effectiveness as an instrument for … (Morgan Stanley Capital International) world index futures further improves the hedging effectiveness compared with the …

fraction of housing market volatility is local. And the local volatilities mostly are due to time-variations of idiosyncratic …

to underestimate risk measures such as volatility (i.e. standard deviation). In order to encompass for such serial … and incorporate a predictive model for volatility. However, their mathematical background lies on a diametrically … for Blundell-Ward and conditional serial correlation for Getmansky, Lo and Markarov) that provide a superior volatility …

generalized duration process. Stochastic volatility in this model is driven by an observed duration process and a latent … return volatility; and (iv) the proposed model is capable of reproducing a return process whose marginal density function is …