volatility spillovers during global financial crisis and tranquil periods. The resulting market interconnectedness is depicted by … between markets and somewhat weaker temporal effects with regard to the US equity market – volatility spillovers decrease when … markets are characterized by greater temporal proximity. Volatility spillovers also present a high degree of …

Russia. The adopted framework allows to analyse interdependence by estimating volatility spillovers, and also contagion by … spillovers between the three CEECs considered and the UK (contagion) … testing for possible shifts in the transmission of volatility following the introduction of the euro and EU accession. Further …

This paper suggests how to quantify asymmetries in volatility spillovers that emerge due to bad and good volatility … stocks at the disaggregate level. Moreover, the spillovers of bad and good volatility are transmitted at different magnitudes … that sizably change over time in different sectors. While negative spillovers are often of substantial magnitudes, they do …

describe the most typical features of capital markets like volatility clustering, excess kurtosis and fat tails. As empirical … evidence shows asymmetry is also a prominent feature of stock market returns volatility. The reaction of risk if stock returns …

This paper examines global (mature market) and regional (emerging market) spillovers in local emerging stock markets … America, and the Middle East. The models capture a range of possible transmission channels: Spillovers in mean returns …, volatility, and cross-market GARCH-in-mean effects. Hypotheses about the importance of different channels are tested. The results …

volatility of macroeconomic variables. Such identification approach allows us to simultaneously address two major questions in …