We analyze foreign news and spillovers in the emerging EU stock markets (the Czech Republic, Hungary, and Poland). We … announcements. Finally, in terms of specific announcements, we are able to show the exact sources of macro news spillovers from the …

that divergence in monetary policy regimes affects forex volatility spillovers but that adding oil to a forex portfolio …

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 sizably change over time in different sectors. While negative spillovers are often of substantial magnitudes, they do …

Asymmetries in volatility spillovers are highly relevant to risk valuation and portfolio diversification strategies in … quantify asymmetries in volatility spillovers due to bad and good volatility. Two, using high frequency data covering most … in different sectors, and the asymmetries sizably change over time. While negative spillovers are often of substantial …