Jiang, George J.; Konstantinidi, Eirini; Skiadopoulos, … - In: Journal of Banking & Finance 36 (2012) 8, pp. 2260-2273
We examine the effect of US and European news announcements on the spillover of volatility across US and European stock markets. Using synchronously observed international implied volatility indices at a daily frequency, we find significant spillovers of implied volatility between US and...