This paper analyzes volatility spillovers in multivariate GARCH-type models. We show that the cross-effects between the … conditional variances determine the persistence of the transmitted volatility innovations. In particular, the effect of a foreign … volatility innovation on a conditional variance is even more persistent than the effect of an own innovation unless it is offset …

Crude oil price volatility has been analyzed extensively for organized spot, forward and futures markets for well over … a decade, and is crucial for forecasting volatility and Value-at-Risk (VaR). There are four major benchmarks in the …-Pacific), which are likely to be highly correlated. This paper analyses the volatility spillover effects across and within the four …

This paper estimates univariate and multivariate conditional volatility and conditional correlation models of spot … volatilities across returns for each market. The estimates of volatility spillovers and asymmetric effects for negative and …

has been conducted to evaluate the role of international tourism, and its associated volatility, within and across various … economies. This paper applies several recently developed models of multivariate conditional volatility to investigate the … interdependence of international tourism demand, as measured by international tourist arrivals, and its associated volatility in the …

volatility of these commodities. The daily returns of Brent, gold and silver from 8 April 1999 to 7 April 2009 are employed to … model the volatility and volatility spillovers across markets. The univariate conditional volatility models suggest that … there is time-varying volatility in all assets. Moreover, asymmetry is observed in the Brent and gold markets. For …

This paper addresses the central open issue in exchange rate economics: the link between exchange rate volatility and … economic fundamentals. In the framework of a multivariate volatility model that allows for volatility spillover, we develop a … foreign exchange volatility. We show that news announcement effects include two components; a direct and an indirect effect …

and volatility spillovers between spot and futures prices of four major international currencies traded on two trading … sample currencies. The volatility spillover results indicate the presence of short and long-run volatility spillovers between … futures and spot markets. Volatility spillovers are stronger from futures to spot in the short-run while inverse is the case …

persistence increases during periods of high volatility compared with low volatility. The estimation of a bivariate GARCH model … further shows the existence of time-varying volatility spillovers between these returns during the different stages of such a …

We analyse volatility spillovers between the on- and offshore (CNY and CNH) Renminbi exchange rates towards the US … dollar (USD). The volatility impulse response (VIRF) methodology introduced by Hafner and Herwatz (2006) is applied to … in an efficient manner, allowing to analyse the significance and persistence of volatility shocks and associated …