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 …

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 …

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

return correlations using weekly returns on futures markets and investigate the extent to which multivariate volatility … ; weekly returns ; multivariate t ; financial interdependence ; VaR diagnostics ; 2008 stock market crash …

ARCH modelling framework of Engle (1982) and its GARCH generalization of Bollerslev (1986) gave a huge impetus to … 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 …

stock market returns. This paper analyses it using US monthly data over the period 2000:1-2015:08. A VAR-GARCH(1,1)-in … post-September 2008 period. There are also volatility spillovers from stock market returns to equity fund flows both before …

This study examines the impact of investors' buy and sell trades on Korean stock market volatility across two crisis … events, the Asian crisis of 1997 and the 2008 global financial crash. We investigate the trading behaviour of domestic vs … on volatility that depends on the type of investor trading and on the phase of the business cycle. Buy orders appear to …