allows for volatility feedback of either sign, i.e., positive or negative. In the previous literature, negative volatility …

the commodity futures price. The significance and form of volatility spill-over effects of a bilateral exchange rate are …

In this paper we examine the issue of asymmetry in the return and volatility spillover effects from the US equity … market into the Canadian and Mexican equity markets. We model the conditional volatility of the returns in each of the three … considerably from those for Mexico. In particular, the empirical results indicate that volatility spillover effects, but not return …

accounting for volatility regimes from both a statistical and economic perspective, including out-of-sample portfolio selection …

(2000) is applied but generalised to account for weekly periodicities and time-varying volatility. Eventually we find a …

volatility predictor, the results of an application to tactical asset allocation are presented. …

characterized by volatility clustering and asymmetry. Also revealed as a stylized fact is Long memory or long range dependence in … market volatility, with significant impact on pricing and forecasting of market volatility. The implication is that models … that accomodate long memory hold the promise of improved long-run volatility forecast as well as accurate pricing of long …