volatility regimes. Results indicate that ignoring the complex and dynamic dependence structure in favour of certain model …

-AGARCH) model to examine both return and volatility spillovers from the USA (developed) and China (Emerging) towards eight emerging … calculate the optimal weights and hedge ratios for the stock portfolios. Our results reveal that both return and volatility … volatility was transmitted from the USA to the majority of the Asian stock markets during the Chinese stock market crash …

This study uses the BEKK-GARCH model to examine the return-and-volatility spillover between the world-leading markets … during the global financial crisis and the crash of the Chinese stock market. Regarding volatility spillover, the results … show the bidirectional volatility transmission between the US and the stock markets of Chile and Mexico during the global …

Based on the fact that realized measures of volatility are affected by measurement errors, we introduce a new family of … discrete-time stochastic volatility models having two measurement equations relating both observed returns and realized … realized measures in inflating the latent volatility persistence - the crucial parameter in pricing Standard and Poor's 500 …

This paper investigates the determinants of nominal yields of government bonds in the eurozone. The pooled mean group … yields of long-term government bonds in a set of 11 eurozone countries. Furthermore, autoregressive distributive lag (ARDL …