We propose a tractable framework for quantifying the impact of fire sales on the volatility and correlations of asset … returns and provide a quantitative explanation for spikes in volatility and correlations observed during liquidation of large …

This study examines the volatility and correlation and their relationships among the euro/US dollar exchange rates, the … volatility and correlation are dependent upon the nature of the series considered, sometimes corresponding to those found in … based on a binary decision tree and, it allows a probabilistic vision of the relationship between univariate volatility and …

The main purpose of this paper is to consider the multivariate GARCH (MGARCH) framework to model the volatility of a … …first conditional moment of US stock returns through multivariate ARFIMA process and the time-varying feature of volatility …

This paper presents a new multivariate GARCH model with time-varying conditional correlation structure, which is a … special case of the Regime Switching Dynamic Correlation (RSDC) of Pelletier (2006). This model which we have named … Correlation GARCH model (DSTCC), a STAR approach for dynamic correlations proposed by Silvennoinen and Terasvirta (2007). The …

that while there are own mean and own volatility spillovers in the two markets, there are no cross own mean and own … volatility spillovers, indicating that the electricity spot market and the carbon spot market are not integrated. Finally …

This paper presents a new multivariate GARCH model with time-varying conditional correlation structure which is a … generalization of the Regime Switching Dynamic Correlation (RSDC) of Pelletier (2006). This model, which we name Hierarchical RSDC …. Our model is also compared to the new Double Smooth Transition Conditional Correlation GARCH model (DSTCC), a STAR …

small time lag. We provide indicators to measure this phenomenon using tick-by-tick data. Strongly asymmetric cross-correlation … (short intertrade duration, narrow bid/ask spread, small volatility, high turnover) tend to lead smaller stocks. However, the …