) 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 …

The paper develops a novel realized matrix-exponential stochastic volatility model of multivariate returns and realized … covariances that incorporates asymmetry and long memory (hereafter the RMESV-ALM model). The matrix exponential transformation …. The volatility and co-volatility spillovers are examined via the news impact curves and the impulse response functions …

shock in one asset on the subsequent volatility or covolatility in another asset), among alternative energy commodities … conditional volatility models, specifically the BEKK and DCC models. A serious technical deficiency is that the Quasi …-Maximum Likelihood Estimates (QMLE) of a full BEKK matrix, which is typically estimated in examining volatility spillover effects, has no …

) specification. In addition to asymmetry, which captures the different effects on conditional volatility of positive and negative …One of the most popular univariate asymmetric conditional volatility models is the exponential GARCH (or EGARCH … subsequent shocks to volatility. However, the statistical properties of the (quasi-) maximum likelihood estimator of the EGARCH …

) specification. In addition to asymmetry, which captures the different effects on conditional volatility of positive and negative …One of the most popular univariate asymmetric conditional volatility models is the exponential GARCH (or EGARCH … subsequent shocks to volatility. However, there are as yet no statistical properties available for the (quasi-) maximum …

) specification can capture asymmetry, which refers to the different effects on conditional volatility of positive and negative …Of the two most widely estimated univariate asymmetric conditional volatility models, the exponential GARCH (or EGARCH … shocks to volatility. However, the statistical properties of the (quasi-) maximum likelihood estimator (QMLE) of the EGARCH …

) specification can capture asymmetry, which refers to the different effects on conditional volatility of positive and negative …Of the two most widely estimated univariate asymmetric conditional volatility models, the exponential GARCH (or EGARCH … shocks to volatility. However, the statistical properties of the (quasi-) maximum likelihood estimator (QMLE) of the EGARCH …