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 …

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

-run demand shocks. In this setup, the volatility of a firm’s exports depends not only on the diversification of its destination … doubt on the commonly held belief that diversification must decrease volatility. … destinations makes the firm more likely to export occasionally to some markets, thereby raising volatility. These results cast …

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 divergence in monetary policy regimes affects forex volatility spillovers but that adding oil to a forex portfolio … shocks dominate forex volatility connectedness, positive shocks prevail when oil and forex markets are assessed jointly …

volatility índices (namely the originally created RTSVX and the new RVI that has replaced it), using daily data over the period …

This paper aims to select the best model or set of models for modelling volatility of the four most popular …

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 …