return correlations using weekly returns on futures markets and investigate the extent to which multivariate volatility …

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 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 …

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