In the academic literature, the economic interpretation of stock market volatility is inherently ambivalent, being … volatility-dependent cross-market spillovers. If higher volatility in one market leads to higher (lower) reactions in another … market, volatility reflects information (uncertainty). We introduce a simultaneous time-varying coefficient model, where …

This paper analyzes volatility spillovers in multivariate GARCH-type models. We show that the cross-effects between the … conditional variances determine the persistence of the transmitted volatility innovations. In particular, the influence of a … foreign volatility innovation on a conditional variance is even more persistent than an own innovation unless this effect is …

Countries -- Chapter 2. Climate Risk and the Volatility of Agricultural Commodity Price Fluctuations: A Forecasting Experiment … levels of volatility. This volatility is too strong to be fully justified simply by changes in fundamentals. This volume … recent years, especially during the ongoing coronavirus pandemic that has changed the common perception of the way financial …