In this paper we examine the issue of asymmetry in the return and volatility spillover effects from the US equity … market into the Canadian and Mexican equity markets. We model the conditional volatility of the returns in each of the three … considerably from those for Mexico. In particular, the empirical results indicate that volatility spillover effects, but not return …

multivariate GARCH model with exogenous news effects, we find that the initial impact of positive news on the volatility of the … that an important part of the impact on the Yen and Pound is induced by volatility spillover from the Euro. …

We propose a methodology to include night volatility estimates in the day volatility modeling problem with high … the natural relationship between the realized measure and the conditional variance. This improves volatility modeling by … leverage effect and maintains a mathematical structure that facilitates volatility estimation. A class of bivariate models that …

obtained from discrete time models by comparing them with high-frequency ex post estimates (e.g. realised volatility) based on … illustration provides an example of where an explanatory model outperforms realised volatility ex post. …

– especially after periods of high market volatility – concerning the goodness of risk quantification for the examined events. …

of covariates as well as the smoothing parameters via cross-validation. We find that volatility forecastability is much …