We investigate the relationship between oil prices and stock markets of selected oil importers and oil exporters at the … correlations between oil and stock markets returns during turbulent phases in the oil market, for all countries in our sample. Our …

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 …

response analysis. Second, we examine the announcements effects on market volatility in a more detailed fashion by … adequately analyze both conditional mean and volatility effects. …

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

Russia. The adopted framework allows to analyse interdependence by estimating volatility spillovers, and also contagion by … testing for possible shifts in the transmission of volatility following the introduction of the euro and EU accession. Further …. Furthermore, whilst the introduction of the euro has had mixed effects, EU accession has resulted in an increase in volatility …

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 …

, volatility, and cross-market GARCH-in-mean effects. Hypotheses about the importance of different channels are tested. The results … dominating in Asia, and regional spillovers in Latin America and the Middle East. -- volatility spillovers ; contagion ; stock …

assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily …

contagion spillover volatility by focusing on a sample of major oil-exporting and oil-importing countries using daily data from … volatility transmission between oil prices and exchange-rate markets. However, the COVID-19 pandemic and the Russian …. This suggests that volatility contagion between these two markets continues to exist, thus emphasising the role of oil …

This paper studies the dynamics of volatility transmission between Central European currencies and euro/dollar foreign … exchange using model-free estimates of daily exchange rate volatility based on intraday data. We formulate a flexible yet … parsimonious parametric model in which the daily realized volatility of a given exchange rate depends both on its own lags as well …