, based on realized volatility (Andersen and Bollerslev 1998, and others), to estimate the conditional quantiles of daily … volatility in samples of equity index and foreign exchange data. These techniques in principle allow us to characterize the … entire conditional distribution of volatility, conditioning on past realized volatility and past squared returns. We take …

other characteristics of transaction prices process such as volatility requires a careful choice of the appropriate …

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 effect of a foreign … volatility innovation on a conditional variance is even more persistent than the effect of an own innovation unless it is offset …

In this paper, we investigate the dynamic response of stock market volatility to changes in monetary policy. Using a … vector autoregressive model, our findings reveal a significant and asymmetric response of stock returns and volatility to … monetary policy shocks. Although the increase in the volatility risk premium, futures-trading volume, and leverage appear to …