Showing 1 - 10 of 24,439
This paper investigates the conditional correlations and volatility spillovers between crude oil returns and stock … empirical results from the VARMA-GARCH and VARMA-AGARCH models provide little evidence of volatility spillovers between the …
Persistent link: https://www.econbiz.de/10013149274
The paper develops a novel realized matrix-exponential stochastic volatility model of multivariate returns and realized …. The volatility and co-volatility spillovers are examined via the news impact curves and the impulse response functions … from returns to volatility and co-volatility. …
Persistent link: https://www.econbiz.de/10011536626
We extend the class of GARCH models to comprise asymmetric and nonlinear effects on volatility. In particular, we do … not only explain future volatility of a time series on its own past, but allow for external influences and spillovers …
Persistent link: https://www.econbiz.de/10012735981
The transmission mechanisms of volatility between markets can be characterized within a new Markov Switching bivariate …
Persistent link: https://www.econbiz.de/10013160209
In this paper we use three euro exchange rates to test for the presence of volatility spillovers, common volatility … components and time-varying correlations using the multivariate-GARCH model and the common volatility methodology approach … proposed by Engle and Kozicki (1993). Our results suggest that the three currencies exhibit some degree of volatility spillover …
Persistent link: https://www.econbiz.de/10013155913
This paper presents a variety of tests of volatility spillover that are robust to heavy tails generated by large errors …
Persistent link: https://www.econbiz.de/10013091629
allows for volatility feedback of either sign, i.e., positive or negative. In the previous literature, negative volatility …
Persistent link: https://www.econbiz.de/10014220091
We introduce a conditional volatility model that combines persistent volatility dynamics with spillovers from a wide … volatility dynamics. We show that despite the many parameters resulting from this wide cross-section, this spillover … autoregressive (SPAR) realized variance model forecasts accurately and can be used in estimating large volatility spillover networks …
Persistent link: https://www.econbiz.de/10013051150
allows for volatility feedback of either sign, i.e., positive or negative. In the previous literature, negative volatility … GARCH processes ; volatility feedback …
Persistent link: https://www.econbiz.de/10003764299
. 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 …
Persistent link: https://www.econbiz.de/10011883272