Silva, Paulo Pereira da - In: International Journal of Financial Studies : open … 2 (2014) 1, pp. 145-167
-movement increases in periods of financial distress. I also analyze the transmission of volatility between the two markets. The results … do not support the hypothesis that volatility propagation surges during financial distress periods. On the contrary, for … some cases, the data suggests that the lead-lag relationships between the two markets volatility are stronger during stable …