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Range-Based Analysis of Volatility Spillovers in European Financial Markets

https://doi.org/10.2139/ssrn.2079752
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Outgoing claims: the papers this work cites, builds on, or argues with.

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Testing range estimators of historical volatility
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Asymmetric volatility transmission in international stock markets
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Automated variable selection in vector multiplicative error models
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The comovement between output and prices: Evidence from a dynamic conditional correlation GARCH model
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Better to give than to receive: Predictive directional measurement of volatility spillovers
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Business cycle, market power and bank behaviour in emerging countries
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Return and volatility spillovers in three euro exchange rates
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A multiple indicators model for volatility using intra-daily data
inferredcites →https://doi.org/10.1016/j.qref.2009.01.003openalex-extracted
Volatility and error transmission spillover effects: Evidence from three European financial regions
inferredcites →https://doi.org/10.1016/s1042-444x(03)00014-8openalex-extracted
Volatility and shocks spillover before and after EMU in European stock markets
inferredcites →https://doi.org/10.1080/096031098333005openalex-extracted
Volatility spillovers across equity markets: European evidence
inferredcites →https://doi.org/10.1086/296071openalex-extracted
The Extreme Value Method for Estimating the Variance of the Rate of Return
inferredcites →https://doi.org/10.1086/296072openalex-extracted
On the Estimation of Security Price Volatilities from Historical Data
inferredcites →https://doi.org/10.1086/296188openalex-extracted
Variances of Security Price Returns Based on High, Low, and Closing Prices
inferredcites →https://doi.org/10.1111/1468-0262.00418openalex-extracted
Modeling and Forecasting Realized Volatility
inferredcites →https://doi.org/10.1111/j.1468-036x.2007.00403.xopenalex-extracted
Volatility‐Spillover Effects in European Bond Markets
inferredcites →https://doi.org/10.1198/07350010152596718openalex-extracted
Testing Density Forecasts, With Applications to Risk Management
inferredcites →https://doi.org/10.1214/aoap/1177005835openalex-extracted
Estimating Variance From High, Low and Closing Prices
inferredcites →https://doi.org/10.1353/mcb.2005.0027openalex-extracted
Forecasting Financial Volatilities with Extreme Values: The Conditional Autoregressive Range (CARR) Model
inferredcites →https://doi.org/10.1515/9781400830213openalex-extracted
The Econometrics of Financial Markets
inferredcites →https://doi.org/10.2139/ssrn.1336511openalex-extracted
Automated Variable Selection in Vector Multiplicative Error Models
inferredcites →https://doi.org/10.2139/ssrn.231165openalex-extracted
Range-Based Estimation of Stochastic Volatility Models or Exchange Rate Dynamics are More Interesting than You Think
inferredcites →https://doi.org/10.2139/ssrn.267792openalex-extracted
Modeling and Forecasting Realized Volatility
inferredcites →https://doi.org/10.2139/ssrn.296875openalex-extracted
Return-Based and Range-Based (Co)Variance Estimation - with an Application to Foreign Exchange Markets
inferredcites →https://doi.org/10.2139/ssrn.956918openalex-extracted
Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets
inferredcites →https://doi.org/10.2307/1937966openalex-extracted
When Can Price be Arbitraged Efficiently? A Limit to the Validity of the Random Walk and Martingale Models
inferredcites →https://doi.org/10.2307/2527343openalex-extracted
Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts
inferredcites →https://doi.org/10.2307/j.ctt7skm5openalex-extracted
The Econometrics of Financial Markets
inferredcites →https://doi.org/10.3386/w10117openalex-extracted
A Multiple Indicators Model for Volatility Using Intra-Daily Data
inferredcites →https://doi.org/10.3386/w13811openalex-extracted
Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets
inferredcites →https://doi.org/10.1007/978-0-387-77117-5_83openalex-snapshot
Range Volatility Models and Their Applications in Finance
inferredcites →https://doi.org/10.1017/s0022109000002350openalex-snapshot
Volatility Spillover Effects in European Equity Markets
inferredcites →https://doi.org/10.1080/07474930701853509openalex-snapshot
Realized Volatility: A Review
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