This study investigated the impact of investor sentiment impact on sectoral returns and their volatility on the … to consider the impact of market-wide investor sentiment on volatility and returns. …

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 …

The paper examines the performance of four multivariate volatility models, namely CCC, VARMA-GARCH, DCC and BEKK, for … the optimal portfolio weights of all multivariate volatility models for Brent suggest holding futures in larger … volatility model give the time-varying hedge ratios, and recommend to short in crude oil futures with a high proportion of one …

Realized volatility underestimates the variance of daily stock index returns by an average of 14 percent. This is … documented for a wide range of international stock indices, using the fact that the average of realized volatility and that of …

This paper introduces a new class of long memory model for volatility of stock returns, and applies the model on …

This study explores the volatility spillover effects between clean and dirty cryptocurrencies and key financial indices … results reveal significant volatility spillovers from both clean and dirty cryptocurrencies, with clean cryptocurrencies such … volatility impacts on green finance indices. Furthermore, the persistent correlations identified through the DCC GARCH model …

This paper proposes a new class of multivariate volatility model that utilising high-frequency data. We call this model …

best. Also, the volatility forecasts generated from multivariate time series models can be successfully converted into … higher portfolio returns using quantitative investment approaches if the right balance of volatility modelling and portfolio …

evolve, many investors continue to forecast volatility using traditional approaches that are ill-suited to the time …-changing nature of volatility. In this paper, I analyze the performance of seven different multivariate-volatility models using a new … poorly when trying to forecast short-term volatility, and that a more dynamic model often provides superior out …