The primary purpose of the paper is to analyze the conditional correlations, conditional covariances, and co-volatility … spillovers between international crude oil and associated financial markets. The paper investigates co-volatility spillovers … (namely, the delayed effect of a returns shock in one physical or financial asset on the subsequent volatility or co-volatility …

) The Volatility Puzzle. We offer resolutions of those objections within the rational finance. We do not claim that those …

-Estimator whose inputs (period used for local volatility calculation and confidence level used for jump detection) were also optimized …

/methodology/approach The paper uses a state space model combined with a standard GARCH(1,1) specification while taking into account structural … breakpoints. The authors allow for efficiency and volatility spillovers to be time-varying and consider break dates to locate …/value The originality of this study is performed by the use of time-varying models for volatility spillovers and informational …

digital asset returns are driven by high frequency jumps clustered around black swan events, resembling volatility and trading …

(leptokurtic distribution, excess volatility, time-varying linear and nonlinear autocorrelations in returns, and time …

We document a higher bond return volatility around the time of default for bonds included in CDS auctions (especially … stock return volatility of CDS firms and non-CDS firms around the time of default. These results are more consistent with …

joint view of its successes and failures in key financial areas. VIX is a model-free volatility index that measures the … as a proxy for market risk and volatility. This article focuses on the most frequent uses of VIX, namely, as (1) a … financial product to hedge a portfolio against volatility risk; (2) a market risk measure used to analyze risk flows from …