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 investigates the conditional correlations and volatility spillovers between crude oil returns and stock … empirical results from the VARMA-GARCH and VARMA-AGARCH models provide little evidence of volatility spillovers between the …

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 …

) suggest the presence of volatility spillovers and asymmetric effects of positive and negative return shocks on conditional … volatility. Finally, the DCC model of Engle (2002) suggests that the conditional correlations can vary dramatically over time. In …

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 …

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 …

We propose an asymptotic N(0, 1) inferential strategy to test for volatility spillover between markets consisting of … multivariate volatility modeling approach — which enjoys estimation consistency and simplicity — to facilitate higher dimensional …

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 …