The financial crisis of 2007-2009 has given way to the sovereign debt crisis of 2010-2012,
yet many of the banking issues remain the same. We discuss a method to estimate the …

The advantage of knowing about risks is that we can change our behavior to avoid them. Of
course, it is easily observed that to avoid all risks would be impossible; it might entail no …

This paper studies in some detail a class of high‐frequency‐based volatility (HEAVY)
models. These models are direct models of daily asset return volatility based on realised …

Financial markets respond to information virtually instantaneously. Each new piece of
information influences the prices of assets and their correlations with each other, and as the …

Using both quantity‐and price‐based measures of financial integration, the paper shows an
increasing degree of financial openness and integration in emerging Asia. Assessing the …

This paper analyzes the asymmetric volatility spillovers across major financial markets. The
good and bad volatility components are relative to positive and negative shocks …

We investigate shifts in correlation patterns among international equity returns at the market
level as well as the industry level. We develop a novel bivariate GARCH model for equity …

This paper analyzes the volatility spillovers across global financial markets using a
generalized variance decomposition, and by incorporating a fast-tractable Markov regime …

The use of close-to-close returns underestimates returns correlation because international
stock markets have different trading hours. With the availability of 16: 00 (London time) stock …

Dynamic conditional beta is an approach to estimating regressions with time varying
parameters. The conditional covariance matrices of the exogenous and dependent variable …