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. …

A theoretical model is used to decompose the variance of stock returns into two volatility and two covariance terms by … results show that volatility terms are negatively related to expected stock returns, and alpha risk has the most significant … variations in stock returns at the firm level. Another finding is that when volatility and covariance terms are excluded from …

We use volatility impulse response analysis estimated from the bivariate GARCH-BEKK model to quantify the size and the … persistence of different types of oil price shocks on stock return volatility and the covariance between oil price changes and …