Realized volatility of financial time series generally shows a slow–moving average level from the early 2000s to recent times, with alternating periods of turmoil and quiet. Modeling such a pattern has been variously tackled in the literature with solutions spanning from long–memory, Markov...

Empirical evidence shows that the dynamics of high frequency–based measures of volatility exhibit persistence and occasional abrupt changes in the average level. By looking at volatility measures for major indices, we notice similar patterns (including jumps at about the same time), with...

Persistence and occasional abrupt changes in the average level characterize the dynamics of high frequency based measures of volatility. Since the beginning of the 2000s, this pattern can be attributed to the dot com bubble, the quiet period of expansion of credit between 2003 and 2006 and then...

The integration of financial markets across countries has modified the way prices react to news. Innovations originating in one market diffuse to other markets following patterns which usually stress the presence of interdependence. In some cases, though, covariances across markets have an...

The literature on Markov switching models is increasing and producing interesting results both at theoretical and applied levels. Most often the number of regimes, i.e., of data generating processes, is considered known; this strong hypothesis is adopted to somewhat bypass the nuisance parameter...

In this paper we suggest ways to characterize the transmission mechanisms of volatility between markets by making use of a new Markov Switching bivariate model where the state of one variable feeds into the transition probability of the state of the other. The comparison between this model and...

The transmission mechanisms of volatility between markets can be characterized within a new Markov Switching bivariate model where the state of one variable feeds into the transition probability of the state of the other. A number of model restrictions and hypotheses can be tested to stress the...