use a novel measure of contagion that examines whether volatility shocks in the U.S. stock market coupled with negative …

concentrate on modeling the conditional mean. However, financial time series exhibit certain stylized features such as volatility … to address this issue and to gain insights on the volatility patterns of CDS spreads, bond yield spreads and stock prices … creditworthiness of debtors more reliably. The obtained findings suggest that volatility takes a significant higher level in times of …

crashes, excess volatility, serially uncorrelated returns, fat-tailed return distributions and volatility clustering, thereby … regimes with high volatility originate from the fact that speculators extract stronger trading signals out of past stock price …