This paper discusses the role that stock market volatility plays in the linkages between the U.S. stock and Treasury …. The baseline analysis shows that the interaction between volatility and illiquidity dynamics coincides with the flight …-term and the short-term bond markets. Finally, this paper finds that an adverse stock market volatility shock increases the …

creation, as well as in explaining fluctuations in stock-market and Treasury bond market volatility. In general, we find that …'s stock market volatility performing the best on several (but not all) dimensions. Their learning-based model's volatility … volatile than the David and Veronesi (2013) stock market volatility …

This paper assesses the sources of volatility persistence in Euro Area money market interest rates and the existence of … linkages relating volatility dynamics. The main findings of the study are as follows. Firstly, there is evidence of stationary … volatility processes. The first factor shows how persistent volatility shocks are trasmitted along the term structure, while the …

The paper investigates the effects of oil price shocks on stock market volatility in Europe by focusing on three … measures of volatility, i.e. the conditional, the realised and the implied volatility. The findings suggest that supply …-side shocks and oil specific demand shocks do not affect volatility, whereas, oil price changes due to aggregate demand shocks …

The paper investigates whether oil price shocks and oil price volatility provide predictive information for the state … of the US stock market returns and volatility. The disaggregation of oil price shocks according to their origin allows us … to assess whether they contain incremental forecasting power on the state of the stock market returns and volatility, a …

market. The empirical results show that stock returns can help us predict both realized volatility as well as return … and realized volatility) …

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 …