findings reveal over 20 statistically significant historical events that triggered abrupt and enduring increases in volatility … volatility connectedness include their negativity, unexpected nature, and the introduction of concerns about oil supply shortages. …

We provide a comprehensive assessment of volatility connectedness between the currencies of Central European (CE … currencies before) and document domination of the negative volatility, especially during periods of economic distress. We further … its potential drivers: uncertainty, liquidity, and economic activity whose impacts differ substantially. Our results are …

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 …

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 …

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 …

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 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 …

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 …