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

) and the subsequent European Sovereign Debt Crisis (ESDC). The spillover index captures the transmission of volatility to …This paper applies two measures to assess spillovers across markets: the Diebold Yilmaz (2012) Spillover Index and the … Hafner and Herwartz (2006) analysis of multivariate GARCH models using volatility impulse response analysis. We use two sets …

allows for volatility feedback of either sign, i.e., positive or negative. In the previous literature, negative volatility … GARCH processes ; volatility feedback …

; Dynamic conditional correlation ; Return comovement ; Volatility model evaluation …

(2000) is applied but generalised to account for weekly periodicities and time-varying volatility. Eventually we find a …

in an efficient manner, allowing to analyse the significance and persistence of volatility shocks and associated …We analyse volatility spillovers between the on- and offshore (CNY and CNH) Renminbi exchange rates towards the US … dollar (USD). The volatility impulse response (VIRF) methodology introduced by Hafner and Herwatz (2006) is applied to …

most important factor in reducing portfolio variance is the use of a flexible model for time varying volatility, rather … good on the present set of measures as the stochastic volatility models, with or without dynamic correlation. …