of GARCH-X models improves the accuracy of their volatility forecasts for spot and 1-year time-charter tanker freight … of the volatility forecasts drawn …

This paper examines the existence of dynamic volatility spillovers within and between the dry-bulk and tanker freight … markets by employing the multivariate DCC-GARCH model and the volatility spillover index developed by Diebold & Yilmaz (2009 … disaggregation of volatility spillovers in total, directional, net and net pair- wise. Results reveal the existence of large time …

This paper explores the evolving relationship in the volatility of sovereign yields in the European Economic and …-2010 period. In a first step, we decompose volatility in permanent and transitory components using Engel and Lee (1999)'s … bond-yield volatility than shocks to the underlying fundamentals. In a second step, we develop a correlation and causality …

This paper investigates the performance of various conditional volatility models to forecast the second moment of … that accounting for volatility regimes and asymmetry does not enhance the performance of one-day-ahead forecasts of either …

futures price volatility of existing gold futures with two contract sizes, 50 baht-weight and 10 baht-weight, using symmetric … modelling gold futures price volatility. The results confirm that the coming into market of Gold-D significantly reduces the … price volatility of existing gold futures. There is not a significant negative relationship between the introduction of Gold …

This paper documents law of one price violations in equity volatility markets. While tightly linked by no …