This paper introduces a novel model to analyse the impact of macroeconomic shocks on volatility spillovers within key … market volatility, our study distinguishes between internal financial volatility spillovers and external shocks arising from … source of volatility spillovers, with Crude Oil being the principal spillover recipient. However, the Stock market's role in …

market capitalization, the increasing volatility of the virtual currencies raise various concerns. One of the major concerns … cryptocurrencies returns. This can be attributed to the presence of asymmetric volatility clusters. This study has significant …

Using high-frequency data, this study investigates intraday price discovery and volatility transmission between the … volatility of both markets …

This presentation introduces the rough path-dependent volatility model (RPDVM). After defining the model and its …

Equity index implied volatility functions are known to be excessively skewed in comparison with implied volatility at … index implied volatility from simulating the 30 dimensional return system of all DAX constituents. Option prices are …-dependence coupled with asymmetric correlation response to negative news is essential to explain the index implied volatility skew …

We propose a simple model in which realized stock market return volatility and implied volatility backed out of option … properties of strong persistence in volatility and forecastability of future realized volatility from current implied volatility …, which have been interpreted as long memory (or fractional integration) in volatility and fractional co-integration between …

volatility. It employs ARDL bounds tests, Granger causality tests and GARCH volatility modeling to analyse the effects of …