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

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

The transmission mechanisms of volatility between markets can be characterized within a new Markov Switching bivariate …

. A state-dependent volatility spillover GARCH hedging strategy is developed to capture the regime switching global equity … volatility spillover effect. Empirical results show that the NFNE futures exhibit superior effectiveness as an instrument for …

In this paper we study new nonlinear GARCH models mainly designed for time series with highly persistent volatility …. For such series, conventional GARCH models have often proved unsatisfactory because they tend to exaggerate volatility … related to relatively infrequent changes in regime. Using the theory of Markov chains we provide sufficient conditions for the …

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

the dynamics of volatility spillover are observed for a span of 7 years – 2013 to 2020; wherein the total number of sample … & Binance coins are more adversely affected due to the bad news in the market, leading to rigorous fluctuations in volatility … model which we used to estimate and quantify the nature of volatility spillovers. Given the overall cryptocurrency bull …

This paper investigates the conditional correlations and volatility spillovers between crude oil returns and stock … empirical results from the VARMA-GARCH and VARMA-AGARCH models provide little evidence of volatility spillovers between the …

framework is a bivariate volatility model, where volatility spillovers of either positive or negative sign are allowed for. Our … countries. Regarding the volatility spillovers, such spillovers from bond returns to those of stocks are stronger than the other … results show that by considering time-varying return and volatility spillovers when calculating the risk-minimising portfolio …