Commodity prices co-move, but the strength of this co-movement changes over time due to structural factors, like changing energy intensity in production and consumption as well as changing composition of underlying shocks. This paper explores whether econometric models that exploit this...

This paper considers a formulation of the extended constant or time-varying conditional correlation GARCH model which allows for volatility feedback of either sign, i.e., positive or negative. In the previous literature, negative volatility spillovers were ruled out by the assumption that all...

This article tries to track the CDXIG index 5y spreads by studying the effect of Equity Index Volatility (by employing VIX levels) and 5/10 US swap curve slope (calculated as the difference between the 10yr and 5yr swap rates) on the index spreads by employing an OLS regression within the...

This paper considers a formulation of the extended constant or time-varying conditional correlation GARCH model which allows for volatility feedback of either sign, i.e., positive or negative. In the previous literature, negative volatility spillovers were ruled out by the assumption that all...

It is well-known that the estimated GARCH dynamics exhibit common patterns. Starting from this fact we extend the Dynamic Conditional Correlation (DCC) model by allowing for a clustering structure of the univariate GARCH parameters. The model can be estimated in two steps, the first devoted to...

This paper analyzes volatility spillovers in multivariate GARCH-type models. We show that the cross-effects between the conditional variances determine the persistence of the transmitted volatility innovations. In particular, the effect of a foreign volatility innovation on a conditional...

This paper analyzes volatility spillovers in multivariate GARCH-type models. We show that the cross-effects between the conditional variances determine the persistence of the transmitted volatility innovations. In particular, the effect of a foreign volatility innovation on a conditional...

This paper analyzes volatility spillovers in multivariate GARCH-type models. We show that the cross-effects between the conditional variances determine the persistence of the transmitted volatility innovations. In particular, the influence of a foreign volatility innovation on a conditional...

This paper considers a formulation of the extended constant or time-varying conditional correlation GARCH model which allows for volatility feedback of either sign, i.e., positive or negative. In the previous literature, negative volatility spillovers were ruled out by the assumption that all...

We estimate the monthly volatility of the US economy from 1959 to 2008 by extending the factor model of Stock and Watson (1991). The volatility of the factor, which we call VOLINX, has three applications.First, it measures the changes in uncertainty in the economy. VOLINX captures the decrease...