has generally increased over time, and that in times of crisis liquidity is lower and the volatility of liquidity is …

)variances of the Dow Jones and the German stock index DAX, we analyze intra-daily volatility spillovers between the US and German …-synchronous and partially overlapping opening hours of the two markets. We find evidence of significant short-term volatility … ('meteor-shower effects').Furthermore, we find that during the subprime crisis the general persistence of short-term volatility …

of contagion in the jump activity, suggesting that the role of jumps in volatility transmission is negligible. Moreover …, we find a negative relationship between the jump activity and the continuous volatility indicating that jumps are mostly …

Accords in that the jump component of the volatility process does not need to be treated separately for the purpose of stress …

This paper investigates the impact of monetary policy surprises by the FED or Bundesbank/ECB on the return volatility … of German stocks and bonds using a GARCH-M model. We show that stock return volatility is susceptible to monetary policy … surprises in the United States, whereas monetary policy surprises in the Euro zone matter for bond return volatility. These …

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 …

Financial market volatility is an important element when setting up port- folio management strategies, option pricing … bigger impact on stock market volatility, namely at sensitivity, persistence and asymmetric effects. …