The article is devoted to the estimation of volatility spillovers occurred on the oil and gas market taking into … account cross-sectional dependence. The latter is implemented via spatial specifications of the BEKK multivariate volatility …

This paper studies the nature of volatility spillovers across countries from the per-spective of network theory and by … relying on data of US-listed ETFs. I use a Lasso-related technique to estimate the International Volatility Network (IVN …) where the nodes correspond to large-cap international stock markets while the links account for significant volatility lead …

Though the issues of co-movement and volatility transmission between Islamic and conventional stock indices have been … conventional index from the perspective of cointegration and volatility spillover employing ARDL bounds testing cointegration … can predict its future price using any of the index prices. Univariate GARCH(1,1) model finds evidence of volatility …

The article is devoted to the estimation of volatility spillovers occurred on the oil and gas market taking into … account cross-sectional dependence. The latter is implemented via spatial specifications of the BEKK multivariate volatility …

Targeting volatility has become very popular in the markets because it reduces the tail risk. However, during a market … downturn, the target and realized volatility might differ significantly, leading to worse than expected portfolio performance …. This paper examines the efficiency of a volatility-targeting portfolio enriched with safe haven assets. Our portfolio …

This paper conducts an investigation of volatility transmission between stock markets in Hong Kong, Europe and the … United States covering the time period from 2000 up to 2011. Using intradaily data we compute realized volatility time series … breaks in volatility spillovers. Particularly during the financial crisis of 2007, we find effects consistent with the notion …

countries. Regarding the volatility spillovers, such spillovers from bond returns to those of stocks are stronger than the other … results show that by considering time-varying return and volatility spillovers when calculating the risk-minimising portfolio …This paper investigates the dynamic linkages in terms of the first and second moments between stock and bond returns …

relationship between the S&P500 Composite Index and the Volatility Index (VIX), but few empirical studies have focused on the … relationship between VIX and ETF returns. The purpose of the paper is to investigate whether VIX returns affect ETF returns by … using vector autoregressive (VAR) models to determine whether daily VIX returns with different moving average processes …

We investigate the role of jumps in transmitting volatility between foreign exchange markets (Engle, Ito, and Lin, 1990 … different implications for the impact of jumps on exchange rate volatility transmission. Specifically, isolated and successive … jumps have opposite predictions for future volatility. Although the realized volatility literature finds that heat wave …

The main goal of this study is to investigate the asymmetric impact of innovations on volatility in the case of the US …