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 …

the behaviour of returns and their volatility during both the calm as well as various crises/turmoil periods. Besides the …-GJR-GARCH) were estimated in order to examine the volatility switches of the Central European transition stock markets. The t …-distribution of error terms was used to capture the dynamics of analysed returns more precisely. The results proved high volatility …

in terms of stock returns and stock price volatility. Granger causality tests show the presence of bidirectional … causality for returns as well as volatility series. The results based on a VAR framework indicate a more limited number of short …

further developed by Engle and Kroner (1995)) to examine the return and volatility spillover between India and four leading … correlation and volatility transmission across the pre- and post-2008 global financial crisis periods (apart from other … developing countries. The result further shows a clear distinction in terms of volatility spillover between the Asian market vis …

analysis indicates a significant level of volatility spillover between the Indian stock market and the international stock …