Using a novel three-phase model based upon a conditional autoregressive Wishart (CAW) framework for the realized (co)variances of the US Dow Jones and the German stock index DAX, we analyze intra-daily volatility spillovers between the US and German stock markets. The proposed model explicitly...

Using a novel three-phase model based upon a conditional autoregressive Wishart (CAW) framework for the realized (co)variances of the US Dow Jones and the German stock index DAX, we analyze intra-daily volatility spillovers between the US and German stock markets. The proposed model explicitly...

Using a novel four-phase model based upon a conditional autoregressive Wishart framework for realized variances and covariances we quantify intra-daily volatility spillovers within and across the US, German and Japanese stock markets before and during the subprime crisis. We find significant...