, this paper seeks to analyze volatility spillover, co-movements, independence and contagion in the Chinese, Japanese …It has been established in the literature that volatility of stock returns exhibits complex properties of not only … volatility clustering, but also long memory, regime change, and substantial outliers during turbulent and calm periods. Hence …

financial markets favours the volatility and return spillover between them. The current study analyses the volatility spillover … proposed by Antonakakis and Gabauer (2017) is used to estimate the evolution in time of volatility spillover. The empirical … results obtained for the period January 2001 - September 2021 highlight the increase in volatility spillover between the …

date the occurrence of financial contagion during the great recession …

)variances of the US Dow Jones and the German stock index DAX, we analyze intra-daily volatility spillovers between the US and …-term volatility shocks is considerably higher and the spillovers effects between the US and the German stock markets are significantly … larger than before the crisis, indicating substantial volatility contagion effects. -- Conditional autoregressive Wishart …

The volatility clustering observed in financial market data implies that large net yield shocks increase the … probability of a higher future volatility during the price formation. Starting from the ARCH models which were suggested by Engle …