The aim of this study is to provide a comprehensive description of the dependence pattern of stock returns by studying a range of quantiles of the conditional return distribution using quantile autoregression. This enables us to study the behavior of extreme quantiles associated with large...

This article investigates the transmission of return and volatility spillovers around the globe. It draws on index futures of three representative indices, namely the Dow Jones Euro Stoxx 50, the S&P 500 and the Nikkei 225. Devolatized returns and realized volatilities are modelled separately...

We employ a bivariate common factor model to establish a permanent-transitory decomposition of two major stock indices (the Deutsche Aktienindex (DAX) for Germany and the Dow Jones Industrial Average (DJIA) for the United States). Using high-frequency data, we (1) identify a common trend shared...