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 …

updating the concept of ‘volatility surprise' to capture cross-market relationships. Current methods for measuring spillovers … do not focus on volatility interactions, and neglect cross-effects between the conditional variances. This paper aims to … commodities from 1983 to 2013. The results provide strong evidence of spillover effects coming from the ‘volatility surprise …

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 …

In this paper we study new nonlinear GARCH models mainly designed for time series with highly persistent volatility …. For such series, conventional GARCH models have often proved unsatisfactory because they tend to exaggerate volatility … related to relatively infrequent changes in regime. Using the theory of Markov chains we provide sufficient conditions for the …

This paper studies the nature of volatility spillovers across countries from the per-spective of network theory and by … relying on data of US-listed ETFs. I use a Lasso-related technique to estimate the International Volatility Network (IVN …) where the nodes correspond to large-cap international stock markets while the links account for significant volatility lead …

This paper studies the nature of volatility spillovers across countries from the perspective of network theory and by … relying on data of US-listed ETFs. I use a Lasso-related technique to estimate the International Volatility Network (IVN …) where the nodes correspond to large-cap international stock markets while the links account for significant volatility lead …