) 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 …

We propose an asymptotic N(0, 1) inferential strategy to test for volatility spillover between markets consisting of … multivariate volatility modeling approach — which enjoys estimation consistency and simplicity — to facilitate higher dimensional …

empirical application aiming at comparing estimates and predictions of the volatility of financial asset returns. The Dynamic …

In many multivariate volatility models, the number of parameters increases faster than the cross-section dimension …

This paper proposes structured parametrizations for multivariate volatility models, which use spatial weight matrices … models as well as for Stochastic- and Realized-Volatility models. The paper also discusses how to construct spatial weight …

volatility, the volatility feedback theory implies a channel that allows the conditional volatility to negatively affect the … expected return. We examine the effects of the risk return trade-off and the volatility feedback in a model where both the … return and its volatility are influenced by news arrivals. Our empirical analysis shows that the two effects have …