leverage effect and maintains a mathematical structure that facilitates volatility estimation. A class of bivariate models that … volatility information improves the day volatility estimation. The results indicate a forecasting improvement using bivariate …We propose a methodology to include night volatility estimates in the day volatility modeling problem with high …

Availability of high frequency data has improved the capability of computing volatility in an efficient way …. Nevertheless, measuring volatility/covariance from the observation of the asset price is challenging for two main reasons: observed … multivariate volatility, with particular focus on using high frequency data. Exploiting the fact that the method allows to compute …

volatility, namely, seasonality and maturity effects for the pre-financialisation (1993-2003) and post-financialisation (2004 … futures' volatility before the financialisation period, open interest as a measure of liquidity has a negative effect after ….e. volatility of the contract increases as it nears to expiration since financialisation. This confirms the importance of accounting …

. Based on the realized semi-volatility indices, we find that the impact of bad volatility strictly dominates good volatility ….S. volatility shock on other countries have been due primarily to bad volatility. In the dynamic analysis, we observe highly … volatility connectedness have been witnessed, inter alia, during the global financial crisis and the European debt crisis. The …

small minority of different cases. Investigating further we find that all volatility series show persistence breaks during …

-AGARCH) model to examine both return and volatility spillovers from the USA (developed) and China (Emerging) towards eight emerging … calculate the optimal weights and hedge ratios for the stock portfolios. Our results reveal that both return and volatility … volatility was transmitted from the USA to the majority of the Asian stock markets during the Chinese stock market crash …

This study uses the BEKK-GARCH model to examine the return-and-volatility spillover between the world-leading markets … during the global financial crisis and the crash of the Chinese stock market. Regarding volatility spillover, the results … show the bidirectional volatility transmission between the US and the stock markets of Chile and Mexico during the global …

This paper investigates linkages among equity market returns and volatility spillovers in the following countries … volatility spillovers. All of the countries in the sample, with the exception of UK and Turkey, experience volatility spillovers … from other markets. Finally, because of the risk-return trade-off, we analyzed the effect of volatility of the market on …

markets. We use filtered historical simulations, GARCH models, and stochastic volatility models. The out-of-sample performance …-at-Risk forecasts, which appears to stem from several econometric properties of the return distributions. With stochastic volatility …

further developed by Engle and Kroner (1995)) to examine the return and volatility spillover between India and four leading … correlation and volatility transmission across the pre- and post-2008 global financial crisis periods (apart from other … developing countries. The result further shows a clear distinction in terms of volatility spillover between the Asian market vis …