framework is a bivariate volatility model, where volatility spillovers of either positive or negative sign are allowed for. Our … 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 …

ability of these funds by estimating hedge ratios and optimal portfolio weights. Taking a short position in the volatility of …

This paper suggests how to quantify asymmetries in volatility spillovers that emerge due to bad and good volatility … stocks at the disaggregate level. Moreover, the spillovers of bad and good volatility are transmitted at different magnitudes …

allows for volatility feedback of either sign, i.e., positive or negative. In the previous literature, negative volatility … GARCH processes ; volatility feedback …

We extend the class of GARCH models to comprise asymmetric and nonlinear effects on volatility. In particular, we do … not only explain future volatility of a time series on its own past, but allow for external influences and spillovers …

Volatility is a key measure of risk in financial analysis. The high volatility of one financial asset today could … affect the volatility of another asset tomorrow. These lagged effects among volatilities - which we call volatility … freedom. Moreover, we study volatility spillovers among a large number of assets. To this end, we use penalized estimation of …

We introduce a conditional volatility model that combines persistent volatility dynamics with spillovers from a wide … volatility dynamics. We show that despite the many parameters resulting from this wide cross-section, this spillover … autoregressive (SPAR) realized variance model forecasts accurately and can be used in estimating large volatility spillover networks …

. A state-dependent volatility spillover GARCH hedging strategy is developed to capture the regime switching global equity … volatility spillover effect. Empirical results show that the NFNE futures exhibit superior effectiveness as an instrument for …