dynamics of CDS volatility spillover effects surrounding the UK's EU membership referendum commonly known as "Brexit". Using a … the underlined CDS. In particular, we find that UK, Italy and Spain are the "net volatility transmitters", while France … and Germany seem the "net volatility receivers". Our findings may help in formulating appropriate regulatory policies and …

Extreme value theory for a class of EGARCH processes is developed. It is shown that the EGARCH process as well as the … results are then compared to related models, such as stochastic volatility models or Log-ACD models. …

they guarantee the non-negativity of volatility, and because they enable richer autoregressive dynamics. However, the …-restrictive assumptions, via vector ARMA(P,Q) representations. Augmented by explanatory or exogenous regressors in the volatility …

they guarantee the non-negativity of volatility, and because they enable richer autoregressive dynamics. However, the …-GARCH model can be viewed as nesting certain classes of stochastic volatility models, including the common ASV(1) specification …

cyclical), provide greater robustness to jumps and outliers, and guarantee the positivity of volatility. The latter is not … volatility specification. Here, we propose estimation and inference methods for univariate and multivariate Generalised log … specification allows for volatility feedback across equations, and time-varying correlations can be fitted in a subsequent step …

This paper examines the empirical relationship among stock return, trading volume and volatility for the seven stock … evidence that shocks persist in the conditional variance, good news have different impact on market volatility than bad news … and that the large shocks have large impact on the market volatility for all markets. In addition, the lag volume shows a …