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Simultaneous Volatility Transmission and Spillover Effects [PDF]

Review of Pacific Basin Financial Markets and Policies, 2010
Simultaneous volatility models are developed and shown to be separate from multivariate GARCH estimators. An example is provided that allows for simultaneous and unidirectional volatility and volume of trade effects. These effects are tested using intraday data from the Australian cash index and index futures markets.
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Volatility spillover from the US to international stock markets: A heterogeneous volatility spillover GARCH model

Journal of Forecasting, 2018
A recent study by Rapach, Strauss, and Zhou (Journal of Finance, 2013, 68(4), 1633–1662) shows that US stock returns can provide predictive content for international stock returns. We extend their work from a volatility perspective. We propose a model, namely a heterogeneous volatility spillover–generalized autoregressive conditional heteroskedasticity
Yudong Wang, Zhiyuan Pan, Chongfeng Wu
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Trading with Asymmetric Volatility Spillovers

Journal of Business Finance & Accounting, 2003
Abstract:  We study the profitability of trading strategies based on volatility spillovers between large and small firms. By using the Volatility Impulse‐Response Function of Lin (1997) and its extensions, we detect that any volatility shock coming from small companies is important to large companies, but the reverse is only true for negative shocks ...
Ángel Pardo Tornero, Hipòlit Torró
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Volatility spillovers in commodity markets

Applied Economics Letters, 2013
This article investigates volatility spillovers in commodity markets by following the methodology pioneered in Diebold and Yilmaz (2012). By using a broad data set during 1995–2012, we address three key research questions: are there volatility spillovers within commodities? between standard assets and commodities?
Ielpo, Florian, Chevallier, Julien
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Subprime crisis and volatility spillover

International Journal of Monetary Economics and Finance, 2011
The subprime financial crisis has sparked our interest in identifying channels through which US crisis spread across 20 developed and emerging stock markets. Empirical results of GARCH and EGARCH estimated models show a high persistence and asymmetric effect of volatility.
Mouna Abdelhedi Zouch, Mouna Boujelbene Abbes, Younes Boujelbene   +2 more
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Wide Volatility Spillover Networks

SSRN Electronic Journal, 2014
We introduce a conditional volatility model that combines persistent volatility dynamics with spillovers from a wide cross-section of assets. We use elastic net estimation on a large, restricted VAR of realized measures to model these volatility dynamics.
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Volatility spillover in seafood markets

Journal of Commodity Markets, 2018
Abstract There is a considerable body of research studying market integration in seafood, focusing on the relationship between prices. In this paper, we consider market connectedness, assessing volatility spillover between the world's three largest seafood markets, the EU, Japan and the USA, for fish and crustaceans. The data spans from 1990 to 2015,
Roy Endré Dahl, Erlendur Jonsson
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Asymmetric Volatility and Volatility Spillovers

2016
Why indeed is volatility asymmetrical? Wholly apart from their epochal methodological contributions, providing an answer to this question may be the greatest theoretical advance traceable to time series models. This chapter will explore three distinct accounts of asymmetrical volatility.
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International spillovers of U.S. financial volatility

Journal of International Money and Finance, 2019
Abstract We study the international spillover effects of U.S. bond and stock market volatility using a panel data set of seventeen developed countries. We find significant spillover impacts of U.S. financial market volatility on international output growth.
Kimberly A. Berg, Nam T. Vu
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Dynamic Linkages and Volatility Spillover

2016
This book examines the dynamic relationship and volatility spillovers between crude oil prices, exchange rates and stock markets of India. Unfortunately very little research has been conducted to analyze the volatility spillovers and dynamic relationship between crude oil prices, exchange rates and stock markets of India.
Bhaskar Bagchi, Dhrubaranjan Dandapat, Susmita Chatterjee   +2 more
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