China having little connection with other markets. Further, evidence of financial contagion is found during both the 1997 …

Purpose – The purpose of this paper is to propose a new method for estimating continuous‐time stochastic volatility (SV … Chicago Board Options Exchange (CBOE) implied (or expected) volatility index (VIX). Design/methodology/approach – A primary … particular, for improving the estimation accuracy of the leverage parameter, that is, the correlation between the two Brownian …

comovement using the cross‐sectional volatility, covariance, and correlation metrics proposed in Adrian (2007). In addition, the … paper examines whether correlations and covariance are important determinants of future volatility via traditional time … average correlations, stemming from an increase in hedge fund volatility, is documented. The time‐series regressions are …

Purpose The purpose of this paper is to empirically examine return and volatility spillovers between oil and the stock … spillovers and volatility spillovers of Diebold and Yilmaz (2009, 2012), referred to as spillover indexes. The spillover index … markets returns and oil market returns. The results for volatility spillovers show independence of volatilities between …

Summary The usual estimation methods provide only a blurred picture of the cyclical development for the current values …

even better, if it is used in interaction with the estimation of a seasonal component. Especially for time-series showing …

principal method used for the research. The results were also illustrated using examples and simulation studies. Volatility … statistical properties of volatility modeling.  …