In this paper, we analyse historical stock market volatility and co-movement behaviour of three emerging markets and three developed economies from January 2001
I estimate a GARCH-based volatility factor model that incorporates market volatility and information from high-frequency data. I find that index and stock volat
We use data on realized volatility to establish co-movement in volatility on the Saudi Arabian and Kuwaiti stock exchanges. We show, in addition, that the proba
Through the application of Diagonal BEKK and Asymmetric Diagonal BEKK methodologies to intra-day data for eight cryptocurrencies, this paper investigates not on