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 …

This paper presents a variety of tests of volatility spillover that are robust to heavy tails generated by large errors …

The transmission mechanisms of volatility between markets can be characterized within a new Markov Switching bivariate …

allows for volatility feedback of either sign, i.e., positive or negative. In the previous literature, negative volatility … GARCH processes ; volatility feedback …

Volatility is a key measure of risk in financial analysis. The high volatility of one financial asset today could … affect the volatility of another asset tomorrow. These lagged effects among volatilities - which we call volatility … freedom. Moreover, we study volatility spillovers among a large number of assets. To this end, we use penalized estimation of …

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 …

updating the concept of ‘volatility surprise' to capture cross-market relationships. Current methods for measuring spillovers … do not focus on volatility interactions, and neglect cross-effects between the conditional variances. This paper aims to … commodities from 1983 to 2013. The results provide strong evidence of spillover effects coming from the ‘volatility surprise …

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