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 …

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 …

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 …

This paper estimates univariate and multivariate conditional volatility and conditional correlation models of spot … volatilities across returns for each market. The estimates of volatility spillovers and asymmetric effects for negative and …

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 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 …

Korean Won / New Taiwan $ exchange rate and tourist arrivals from Korea to Taiwan, as well as their associated volatility … and Korean tourist arrivals, to test whether alternative estimates of conditional volatility are sensitive to the long … memory in the conditional mean, and to examine asymmetry and leverage in volatility. The empirical results show that the …

This paper estimates the effects of short and long haul volatility (or risk) in monthly Japanese tourist arrivals to … use symmetric and asymmetric conditional volatility models that are commonly used in financial econometrics, namely the … volatility estimates for the monthly growth in Japanese tourists to New Zealand and Taiwan are different, and indicate that the …