During crises, stock market volatility generally rises sharply, and as consequence, spillovers are identified across … markets. This study estimates the volatility spillover among twelve European stock markets representing all four regions of … Diebold and Yilmaz, we use static and rolling windows to characterize five-minute volatility spillovers. Our results show that …

behavior and interdependence through the study of the intraday volatility transmission. This paper investigates the patterns of …

Purpose - This article examines volatility spillovers, cross-market correlation, and comovements between selected … Methodology - We propose to estimate and model volatility using GARCH family models for selected European markets. We aim to … explore volatility movement, presence of leverage effect/ asymmetry in selected financial markets. Findings - The econometric …

Volatility in financial markets is a highly explored area of research for the last few decades. Possible reasons for … macroeconomic variables as determinants of financial markets (stock market and exchange rate) volatility. It also aims to analyse … the contribution of the volatility of one financial market to the volatility of another financial market before and after …