volatility spillovers dominated by the low frequency band (above 1 quarter) part grew with the decline in frequencies; the … market and Russia’s stock market, respectively, played an influential role for return spillover and volatility spillover …

This research examines the correlations between the return volatility of cryptocurrencies, global stock market indices …, and the spillover effects of the COVID-19 pandemic. For this purpose, we employed a two-stage multivariate volatility … and respond well to previous shocks. As a result, financial assets have low unconditional volatility and the lowest risk …

We investigate the relationship between oil prices and stock markets of selected oil importers and oil exporters at the … correlations between oil and stock markets returns during turbulent phases in the oil market, for all countries in our sample. Our …

This study investigates the time-varying frequency of spillovers between European stock markets and oil during the …, 2018, we analyze high-frequency data at a 5-min interval to analyze the interplay between crude oil market returns and the …, industrials, insurance, oil and gas, retail, real estate, technology (tech), telecommunication (telecom), and utilities. The …

and volatility. In addition to covering the periods of the dot.com crash, the 11 September 2001 events, the pre-2007 … financialization bubble period and the resulting Global Financial Crisis, we study volatility spillovers arising from the BRIC, U …

growing importance of emerging markets, the literature on the nature of volatility in global markets is typified by … volatility in developed G7 and emerging BRICS markets. Broad market index data and GARCH models over the period 2003 …:01–2020:08 were employed. The study found evidence of volatility persistence, asymmetry, mean reversion and weak evidence of a risk …