intra-day temporal aggregation in examining returns relationships and volatility spillovers across the equity and energy … futures markets, and the effects of overnight returns, volume, realized volatility, asymmetry, and spillovers across the four … spillovers, and dynamic conditional correlations and covariances, show that the relationships between the stock market and …

intra-day temporal aggregation in examining returns relationships and volatility spillovers across the equity and energy … futures markets, and the effects of overnight returns, volume, realized volatility, asymmetry, and spillovers across the four … spillovers, and dynamic conditional correlations and covariances, show that the relationships between the stock market and …

. The volatility and co-volatility spillovers are examined via the news impact curves and the impulse response functions …

of risk spillovers across these four indexes as a mean to assess the impact of the different screening criteria. Finally …

-volatility spillovers of shocks, which calculate the delayed effect of a returns shock in one asset on the subsequent volatility or co …-volatility in another asset, and extend the effects of the co-volatility spillovers of shocks to the effects of the co …-volatility spillovers of squared shocks. The empirical results show there are significant positive latent volatility Granger causality …

This paper investigates the conditional correlations and volatility spillovers between crude oil returns and stock … empirical results from the VARMA-GARCH and VARMA-AGARCH models provide little evidence of volatility spillovers between the …

) suggest the presence of volatility spillovers and asymmetric effects of positive and negative return shocks on conditional …

The purpose of this paper is to investigate the volatility spillovers between the returns on crude oil futures and oil …