We investigate volatility contagion across G7 stock markets and the market for crude oil for the period between 2007 … sample period. Prominent among our results is that the crude oil market is an important net transmitter of volatility shocks … for crude oil. Finally, we show that the Canadian stock market is a persistent net transmitter of volatility in recent …

volatility estimation in terms of volatility jumps being examined and modeled for the international equity market, using such a … properties of jumps. These volatility-estimation and jump properties are also evident in jump modeling based on statistical and …Using high-frequency intraday data, we construct, test and model seven new realized volatility estimators for six …

The present study addresses the economic interpretation of stock market volatility. We argue that its character is … volatility. This exploits the revealed reaction of investors to gauge the degree of information and uncertainty ascribed to … volatility. We estimate simultaneous timevarying coefficient models, using data of US and further stock markets. We find the …

volatility …