We provide a comprehensive view on volatility dynamics in precious metals and crude oil markets. Using high-frequency futures data, we construct realized volatilities and estimate (Quantile) Heterogeneous Autoregressive models for the daily volatility of Gold, Silver and Crude Oil futures. We...

This study provides a comprehensive description of the intra-day dynamics of major US-Dollar spot exchange rates. We use quantile autoregression to investigate the presence of (non-)linear temporal dependence in foreign exchange returns at various intra-daily time-horizons, ranging from ten...

This article performs a long-term investigation of information transmission between stock markets in Hong Kong, Europe and the US. The particular focus is on the time- and state-dependence of return spillovers and autocorrelations as well as the related potential deviations from informational...

This paper conducts an investigation of volatility transmission between stock markets in Hong Kong, Europe and the United States covering the time period from 2000 up to 2011. Using intradaily data we compute realized volatility time series for the three markets and employ a Heterogeneous...

This paper proposes an innovative econometric approach for the computation of 24-hour realized volatilities across stock markets in Europe and the US. In particular, we deal with the problem of non-synchronous trading hours and intermittent high-frequency data during overnight non-trading...

This paper analyzes return spillovers from the US to stock markets in Asia by means of quantile regressions. Traditional studies consider spillovers as effects of the conditional means of foreign returns onto the conditional means of chronologically succeeding domestic markets' returns. We, by...

This paper uses quantile regression techniques to investigate the temporal dependence patterns of major exchange rates around the globe. Specifically, we estimate quantile autoregressive models for daily exchange rate returns of the USD/EUR, USD/JPY, USD/GBP, USD/AUD, USD/CHF and USD/CAD...