Asymmetric responses to news in volatilities and correlations are important characteristics of many financial asset returns. This study investigates the asymmetries on spot and futures and extends the work of Kroner and Sultan (1993) using the Asymmetric Dynamic Conditional Correlation (ADCC)...

This article proposes a Full Jump Switching Level Generalized Autoregressive Conditional Heteroscedasticity (GARCH) (i.e. FJSLG) model for short-term interest rate which is an extension of Lee's jump switching filter with a state-dependent time-varying jump dynamic. FJSLG is applied to the rates...