international visitors to Taiwan is important, existing research has discussed the issue of the travel demand between Chinese … 2014 to 31 October 2016, together with the Diagonal BEKK model, the paper analyses the co-volatility spillover effects … is a significant negative co-volatility spillover effect between the rate of change in the numbers of Chinese tourists …

their associated volatility. The sample period includes the Asian economic and financial crises in 1997, and part of the … whether alternative short and long run estimates of conditional volatility are sensitive to the approximate long memory in the … conditional mean, to examine asymmetry and leverage in volatility, and to examine the effects of temporal and spatial aggregation …

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 …

rubber are not only subject to changes in demand, but also to speculation regarding future markets. Japan and Singapore are …) suggest the presence of volatility spillovers and asymmetric effects of positive and negative return shocks on conditional … volatility. Finally, the DCC model of Engle (2002) suggests that the conditional correlations can vary dramatically over time. In …

Crude oil price volatility has been analyzed extensively for organized spot, forward and futures markets for well over … a decade, and is crucial for forecasting volatility and Value-at-Risk (VaR). There are four major benchmarks in the …-Pacific), which are likely to be highly correlated. This paper analyses the volatility spillover effects across and within the four …

Hafner and Herwartz (2006) analysis of multivariate GARCH models using volatility impulse response analysis. We use two sets … of data, daily realized volatility estimates taken from the Oxford Man RV library, running from the beginning of 2000 to …) and the subsequent European Sovereign Debt Crisis (ESDC). The spillover index captures the transmission of volatility to …

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. …

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 …