This paper examines the dynamics of the asymmetric volatility spillovers across four major cryptocurrencies comprising … and Ripple) cryptocurrencies. Using a novel time-varying parameter vector autoregression (TVPVAR) asymmetric connectedness … bad spillovers are time-varying; (ii) bad volatility spillovers are more pronounced than good spillovers; (iii) a strong …

measures, the financial globalization index corrects for the heteroscedasticity of global volatility. This leads to a downward … globalization reduces market volatility (measured by the volatility of stock returns) in tranquil times, and increases it in … turbulent ones. On average, the first effect dominates, so that financial globalization leads to a decrease in market volatility …

I estimate the transmission of large global volatility shocks in international equity markets from the earlier (pre … significant increases in unanticipated volatility in US equity markets, which I relate to well-known historical events. My …

fluctuations of connectedness between COVOL and each implied volatility indices are highly dependent on periods of exceptional … common volatility (COVOL) [Engle and Campos-Martins, 2023] and four major asset price implied volatility measures using a TVP …This research explores dynamic connectedness amongst financial markets using the novel financial risk measure, global …