This article examines the extent of contagion and interdependence across the East Asian equity markets since early 1990 … autoregression, we derive return and volatility spillover indices over the rolling sub-sample windows. We show that there is … substantial difference between the behavior of the East Asian return and volatility spillover indices over time. While the return …

We analyze connectedness between the real and financial sectors of the U.S. economy. Using the weekly ADS index of the … distress and/or business cycle turning points the direction of connectedness runs from the real sector to financial markets … might not be the best representative of the real activity to be used in the connectedness analysis. As an alternative, we …

In this paper, we examine the evolution of the S&P500 returns volatility around market crashes using a Markov …-Switching model. We find that volatility typically switches into the high volatility state well before a crash and remains in the high … volatility by uniformed traders result in a crash. …

volatilities for 35 U.S. and European financial institutions. Based on that model we extract a connectedness index in the spirit of … Diebold and Yilmaz (2014) (DYCI). We show that the connectedness index from the TVP-VAR model captures abrupt turning points …

This paper presents an analysis of the volatility connectedness of major bank stocks in the South East Asia (SEACEN … dynamic bank volatility network. The volatility connectedness increased substantially during the US financial crisis (from … important banks (GSIBs) from the U.S. and Europe generate substantial volatility connectedness to SEACEN banks. We also identify …