This paper estimates a bivariate HEAVY system including daily and intra-daily volatility equations and its macro …-augmented asymmetric power extension. It focuses on economic factors that exacerbate stock market volatility and represent major threats to … commodity markets on stock market realized volatility. Specifically, Economic Policy Uncertainty is shown to be one of the main …

This paper suggests how to quantify asymmetries in volatility spillovers that emerge due to bad and good volatility … stocks at the disaggregate level. Moreover, the spillovers of bad and good volatility are transmitted at different magnitudes …

transmits to hedging costs both by changing the relevant state variables, such as the value of the underlying, its volatility …We analyze the transmission of monetary policy to the costs of hedging using options order book data. Monetary policy … and tail risk, and by affecting option market liquidity, including the bid-ask spread and market depth. Our estimates …

We analyze (frequency) connectedness and portfolio hedging among U.S. energy commodities from 1997 to 2023. We show … Russia-Ukraine war is associated with the highest systemic risk, followed by the Covid-19 pandemic and global financial … crisis (GFC). In the frequency domain, the results imply that investors perceive the greatest risk at longer investment …

that divergence in monetary policy regimes affects forex volatility spillovers but that adding oil to a forex portfolio … shocks dominate forex volatility connectedness, positive shocks prevail when oil and forex markets are assessed jointly …

framework is suitable to analyse both mean and volatility spillovers, and also allows for possible parameter shifts resulting … food crisis and 2008 financial crisis leading to the most significant shifts in the (volatility) spillovers between the …

evidence shows asymmetry is also a prominent feature of stock market returns volatility. The reaction of risk if stock returns … describe the most typical features of capital markets like volatility clustering, excess kurtosis and fat tails. As empirical … ; volatility ; stock market ; transition …

03/1/2000-12/5/2013. The estimated VAR-GARCH(1,1) model allows for both mean and volatility spillovers and for the …

This paper uses a VAR-GARCH(1,1) model to analyse mean and volatility spillovers between macro news (in the form of …