regression model. We find that the risk spillover effect is relatively low in Central and Eastern European countries (CEECs … receives the largest amount of foreign currency from oil exports. The results indicate that the short-term risk spillover …

models and implied volatility indices to examine risk spillover under bad and good volatility changes. The results reveal … that the oil market and global stock markets are highly risk-connected. The risk spillover from increases in oil … spillover effect under bad volatility changes in all periods, while it only plays a strong risk spillover role under good …