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 this paper, we examine how to quantify asymmetries in volatility spillovers that emerge due to bad and good … volatility. Using data covering most liquid U.S. stocks in seven sectors, we provide ample evidence of the asymmetric … connectedness of stocks at the disaggregate level. Moreover, the spillovers of bad and good volatility are transmitted at different …

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 …. Frequency connectedness is largely driven by uncertainty shocks and to a lesser extent by liquidity shocks, which impact long …

We show how bad and good volatility propagate through forex markets, i.e., we provide evidence for asymmetric … volatility connectedness on forex markets. Using high-frequency, intra-day data of the most actively traded currencies over 2007 … -- 2015 we document the dominating asymmetries in spillovers that are due to bad rather than good volatility. We also show …

We detect and quantify asymmetries in volatility spillovers using the realized semivariances of petroleum commodities …: crude oil, gasoline, and heating oil. During the 1987-2014 period we document increasing spillovers from volatility among … petroleum commodities that substantially change after the 2008 financial crisis. The increase in volatility spillovers …

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 …

Accords in that the jump component of the volatility process does not need to be treated separately for the purpose of stress …