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 …

This paper examines mean and volatility spillovers between four green municipal bonds issued by the US states of …

This paper examines volatility spillovers from mature to emerging stock markets and tests for changes in the …. -- Volatility spillovers ; contagion ; stock markets ; emerging markets …

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 … ; volatility ; stock market ; transition …

in the volatility, from the largest market of Saudi Arabia to Qatar and the two markets in the UAE, which confirms that …

This paper estimates a bivariate HEAVY system including daily and intra-daily volatility equations and its macro …-augmented asymmetric power extension. It focuses on economic factors that exacerbate stock market volatility and represent major threats to … commodity markets on stock market realized volatility. Specifically, Economic Policy Uncertainty is shown to be one of the main …

any significant changes in the degree of persistence of the FTSE 100 Implied Volatility Index (IVI) and of the British …