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

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 …

Hafner and Herwartz (2006) analysis of multivariate GARCH models using volatility impulse response analysis. We use two sets … of data, daily realized volatility estimates taken from the Oxford Man RV library, running from the beginning of 2000 to …) and the subsequent European Sovereign Debt Crisis (ESDC). The spillover index captures the transmission of volatility to …

framework is suitable to analyse both mean and volatility spillovers, and also allows for possible parameter shifts resulting … food crisis and 2008 financial crisis leading to the most significant shifts in the (volatility) spillovers between the …

framework is suitable to analyse both mean and volatility spillovers, and also allows for possible parameter shifts resulting … food crisis and 2008 financial crisis leading to the most significant shifts in the (volatility) spillovers between the …

Examinations of the dynamics of daily returns and volatility in stock markets of the US, Hong Kong and mainland China …

account for asymmetries of return and volatility spillover effects from the US equity market into Canada and Mexico. Unlike … previous research, we model the conditional volatility of the returns in each of the three markets using the asymmetric power … model of Ding, Granger and Engle (1993). The empirical results indicate that volatility spillover effects, but not mean …

markets. We put to test the government's claim by exploring the volatility linkages of Russia versus US and Europe. We found … strong bidirectional return and volatility linkages between these markets leading the evidence in favor of government claim …

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 …