The spillover effects of interconnectedness between financial assets are decomposed into both sources of shocks and … whether they amplify or dampen volatility conditions in the target market. We use historical decompositions to rearrange … decomposition approach of Diebold and Yilmaz (2009). A spillover index based on historical decompositions has simple asymptotic …

vary over time. Our results reveal that the stock market is the dominant contributor to volatility spillover, while the … crude oil is mostly the volatility spillover recipient. The asymmetric spillover effects are predominantly negative in the …This study uses the Multiplicative Error Model (MEM) to explore asymmetric volatility spillovers between crude oil and …

-Pacific), which are likely to be highly correlated. This paper analyses the volatility spillover effects across and within the four …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 …

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 …

volatility of these commodities. The daily returns of Brent, gold and silver from 8 April 1999 to 7 April 2009 are employed to … model the volatility and volatility spillovers across markets. The univariate conditional volatility models suggest that … there is time-varying volatility in all assets. Moreover, asymmetry is observed in the Brent and gold markets. For …

heteroscedasticity (GARCH)-type models to forecast oil price volatility over the time periods from January 02, 1875 to December 31, 1895 … indicate that none of our volatility models can uniformly outperform other models across all six different loss functions …

forecasting horizons. Therefore, a long memory volatility model compared to a short memory GARCH model does not appear to improve …

This paper considers the problem of model uncertainty in the case of multi-asset volatility models and discusses the … management. Evaluation of volatility models is then considered and a simple Value-at-Risk (VaR) diagnostic test is proposed for …