volatility, but without the estimation problems associated with the latter, and being applicable in the multivariate setting for … model in several ways, it allows for all the primary stylized facts of financial asset returns, including volatility … EM-algorithm is developed for estimation. Each element of the vector return at time t is endowed with a common univariate …

can generate a plausible disaggregation of the conditional variance process, in which the components' volatility dynamics …

value robust volatility estimator with respect to the standard robust volatility estimator as proposed in the paper by … Muneer & Maheswaran (2018b). We show that the robust volatility ratio is unbiased both in the population as well as in finite … samples. We empirically test the robust volatility ratio on 9 global stock indices from America, Asia Pacific and EMEA markets …

specifications (CCC, DCC and ADCC) to investigate the return and volatility spillovers among price and return series. We use rolling … and volatility connectedness between China and U.S. clean energy stock markets …

frequency volatilities and correlations ; Dynamic conditional correlation ; Spline-GARCH ; Idiosyncratic volatility ; Long …

This study is an attempt to model the volatility of stock returns in Indian market for the period 1997-2006 using GARCH …, TARCH and E-GARCH. Results point out that returns exhibit persistence and volatility clustering in both NSE Nifty and BSE … Sensex. Asymmetric volatility effect has been observed in both the series using TARCH and E-GARCH model. While forecasting …