Tessmann, Mathias Schneid; Passos, Marcelo de Oliveira; … - In: Economies : open access journal 12 (2024) 6, pp. 1-20
volatility in sectoral indices. For this, we use daily asset data and two methodologies. The first creates a spillover index that … results that show significant transmissions of volatility among the 64 analyzed assets. Notably, the DJIA, Wilshire 5000, and … S&P 500 showed significant volatility and were the main drivers of volatility for the other sectors and indices. Results …