. The volatility and co-volatility spillovers are examined via the news impact curves and the impulse response functions …The paper develops a novel realized matrix-exponential stochastic volatility model of multivariate returns and realized …’s seminal work in terms of the estimation of highly non-linear model specifications ("Causality tests and observationally …

this crisis. During the Irish financial crisis from 2007 to 2010, strong contagion effects are uncovered between Irish … equity markets and the investigated European equity markets. The contagion effects are found to ease dramatically in the … intervention as a mechanism to mitigate and absorb contagion associated with state-specific financial crises and if possible …

Litecoin), this study examines the return and volatility spillover between these cryptocurrencies during the pre-COVID-19 … period and the COVID-19 period. We also estimate the optimal weights, hedge ratios, and hedging effectiveness during both … sample periods. We find that the return spillovers vary across the two periods for the Bitcoin-Ethereum, Bitcoin …

volatility spillovers during global financial crisis and tranquil periods. The resulting market interconnectedness is depicted by … between markets and somewhat weaker temporal effects with regard to the US equity market - volatility spillovers decrease when … markets are characterized by greater temporal proximity. Volatility spillovers also present a high degree of …

time of the COVID-19 pandemic. We provide evidence in favour of energy contagion, in term of significantly higher …

average of spillovers over a period, whilst volatility impulse responses (VIRF) have to be calibrated to conditional …This paper applies two measures to assess spillovers across markets: the Diebold Yilmaz (2012) Spillover Index and the … Hafner and Herwartz (2006) analysis of multivariate GARCH models using volatility impulse response analysis. We use two sets …

This paper investigates linkages among equity market returns and volatility spillovers in the following countries … volatility spillovers. All of the countries in the sample, with the exception of UK and Turkey, experience volatility spillovers … from other markets. Finally, because of the risk-return trade-off, we analyzed the effect of volatility of the market on …

. The purpose of this paper is to examine the volatility spillovers for spot and futures returns on bio-ethanol and related … prices, returns and volatility of related agricultural commodities. Analyzing the spillover effects on agricultural … agricultural commodities, specifically corn and sugarcane, using the multivariate diagonal BEKK conditional volatility model. The …