Bensafta, Kamel Malik; Semedo, Gervasio - In: International Economic Journal 28 (2014) 4, pp. 559-588
We examine market volatility spillover during calm and crisis periods. First, we define endogenous and exogenous market volatility: endogenous volatility refers to the early part of uncertainty in the market, while, exogenous volatility is not fully anticipated and occurs as a result of...