captures both the Global Financial Crisis (GFC) and the subsequent European Sovereign Debt Crisis (ESDC). The attraction of the … government allowed the investment bank Lehman Brothers to go bankrupt (GFC2). The third shock is 9 May 2010, which marked the … using volatility impulse response analysis. The data set features ten years of daily returns series for the New York Stock …

) and the subsequent European Sovereign Debt Crisis (ESDC). The spillover index captures the transmission of volatility to … volatility. In the latter analysis, we explore the impact of three different shocks, the onset of the GFC, which we date as 9 … multivariate GARCH model, which are then analysed using both BEKK and diagonal BEKK (DBEKK) models. A key result is that the impact …

shock in one asset on the subsequent volatility or covolatility in another asset), among alternative energy commodities … conditional volatility models, specifically the BEKK and DCC models. A serious technical deficiency is that the Quasi …-Maximum Likelihood Estimates (QMLE) of a full BEKK matrix, which is typically estimated in examining volatility spillover effects, has no …

The paper develops a novel realized matrix-exponential stochastic volatility model of multivariate returns and realized … covariances that incorporates asymmetry and long memory (hereafter the RMESV-ALM model). The matrix exponential transformation …. The volatility and co-volatility spillovers are examined via the news impact curves and the impulse response functions …

. This makes the result markedly different from the volatility case. Observationally equivalent decompositions of the …

futures markets, and the effects of overnight returns, volume, realized volatility, asymmetry, and spillovers across the four … relating to alternative models of mean and variance feedback and asymmetry for intra-daily returns, asymmetry and volatility … intra-day data. The paper analyses the relationships among the S&P 500 Index and futures prices, returns and volatility of …

) specification. In addition to asymmetry, which captures the different effects on conditional volatility of positive and negative …One of the most popular univariate asymmetric conditional volatility models is the exponential GARCH (or EGARCH … subsequent shocks to volatility. However, there are as yet no statistical properties available for the (quasi-) maximum …