Volatility Spillovers: Evidence On U.S. Oil Product Markets

Volatility spillovers across equity markets: European evidence

This paper examines the issue of volatility spillovers across the three largest European stock markets, namely London, Frankfurt and Paris. The Exponential Generalized Autoregressive Conditional Heteroscedasticity model is used to capture potential asymmetric effects of innovations on volatility. During the period from 01/01/84 to 07/12/93, reciprocal spillovers are found to exist between Londo...

The impact of news announcements on volatility spillovers: International evidence from implied volatility markets

This paper investigates the role of scheduled news announcements in explaining the transmission of volatility, both within European markets and across U.S. and European ones. To this end, a novel approach is taken by employing a set of widely followed implied volatility indices. Aggregate, regional, and individual event dummies and surprise measures for U.S. and European news announcements are ...

Of Volatility Spillovers In European Government Bond Markets

In this paper we engineer an information mapping of transmission linkages across various European government bond markets. The research introduces a calibration methodology for the application of an optimizing radial basis function (RBF) artificial neural network (ANN). Utilizing a closed-form derivation of the regularization parameter, the Kajiji-4 RBF ANN is known to efficiently minimize the ...

Herding, Information Cascades and Volatility Spillovers in Futures Markets

Testing Intraday Volatility Spillovers in Turkish Capital Markets: Evidence from Ise

The aim of this article is to examine the presence of volatility transmission between futures index and underlying stock index by using intraday data in Turkey. We first examined the sudden changes in the variance of futures index return and the underlying spot index return. Then we employed the causality in the variance tests proposed by Hong (2001) and Hafner and Herwartz (2006). According to...