Hafner and Herwartz (2006) analysis of multivariate GARCH models using volatility impulse response analysis. We use two sets … of data, daily realized volatility estimates taken from the Oxford Man RV library, running from the beginning of 2000 to …) and the subsequent European Sovereign Debt Crisis (ESDC). The spillover index captures the transmission of volatility to …

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 …

A growing literature uses changes in residual volatility for identifying structural shocks in vector autoregressive … in applications in this context. This study reviews the different volatility models and points out their advantages and …

A growing literature uses changes in residual volatility for identifying structural shocks in vector autoregressive … in applications in this context. This study reviews the di erent volatility models and points out their advantages and …

A growing literature uses changes in residual volatility for identifying structural shocks in vector autoregressive … in applications in this context. This study reviews the different volatility models and points out their advantages and …