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

transmitters and shock receivers. Eventually, the top three nations in which return volatilities are actively transmitted to other …

periods of heightened volatility. We also measure causality in volatilities extending well-known approaches analyzing … volatility transmission. We find significant cross-market relationships between U.S. and German stock and bond markets …

The paper develops a novel realized stochastic volatility model of asset returns and realized volatility that … incorporates general asymmetry and long memory (hereafter the RSV-GALM model). The contribution of the paper ties in with Robert … effects from returns to future volatility. This paper discusses asymptotic results of a Whittle likelihood estimator for the …

Examinations of the dynamics of daily returns and volatility in stock markets of the US, Hong Kong and mainland China …

subject to stochastic volatility. It enables the disentanglement of dynamic structures in both the mean and the variance of … increased during the 2008 financial crisis while it has recently returned to its pre-crisis level. The extracted volatility …