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This paper differs from extant literature because it studies volatility co-movements with a multivariate orthogonalized HAR model, a flexible specification for the time series of realized volatility, which is able to identify short-, mid- and long-term spillover effects. We examine volatility transmission mechanisms using high-frequency data of the stock index futures on S&P 500, Nikkei 225, FTSE...
This article contributes to the related literature by empirically investigating the efficiency of nine energy and precious metal markets over the last decades, employing several pronounced models. We test for both short- and the long-run efficiency using, in addition to linear cointegration models, nonlinear cointegration and error-correction models (ECMs) which allow the efficiency intensity to change...
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