market seems to play a more important role in price discovery. Volatility spillovers across the two markets are examined by … using a bivariate EGARCH(1,1) model. This model is found to capture all the volatility dynamics. The results indicate that … the transmission of volatility is bidirectional. Any piece of information that is released by the cash market has an …

In this study, we aim to analyze the relation between return and volatility in different types of exchange-traded funds … advantages to each other: Toda-Yamamoto (1995); bootstrap based Hatemi-J (2005); volatility spillover, which allows investigating … results obtained from our analyses show that a negative relationship between return and volatility is valid for most ETF types …

In this study, we aim to analyze the relation between return and volatility in different types of exchange-traded funds … advantages to each other: Toda-Yamamoto (1995); bootstrap based Hatemi-J (2005); volatility spillover, which allows investigating … results obtained from our analyses show that a negative relationship between return and volatility is valid for most ETF types …

we progress through the day. Overnight returns are the most significant in contributing towards the volatility for any …

frequency volatilities and correlations ; Dynamic conditional correlation ; Spline-GARCH ; Idiosyncratic volatility ; Long … that characterize long-term correlation patterns. We associate such term behavior with low frequency economic variables … improves the empirical fit of equity correlations in the US and correlation forecasts at long horizons. -- Factor models ; Low …

measuring the contemporaneous correlation between the return shock and the volatility shock. We show that the contemporaneous … correlation can be quantified within an EGARCH model, where the composite disturbance to the return follows a normal log … the contemporaneous correlation being negative and the ARCH-M effect being positive …

time-varying extreme correlation of stock-bond futures markets. There is evidence of positive extreme correlation between …, German stock-bond futures extreme correlation is negative, which suggests most diversification potentials of German bond … uncertainty all significantly affect the median stock-bond futures correlation. By contrast, only the stock market uncertainty …

year. To capture the commonality in idiosyncratic volatility, we propose the Dynamic Factor Correlation model, which …Commonality in idiosyncratic volatility cannot be completely explained by time-varying volatility. We decompose the … common factor in idiosyncratic volatility (CIV) of Herskovic et al. (2016) into two components: idiosyncratic volatility …