In this survey article, we present a rich extent of literature on volatility and its propagation on financial markets … via spillovers. We document how new approaches or improved existing methodologies lead to results that offer richer …

This paper suggests how to quantify asymmetries in volatility spillovers that emerge due to bad and good volatility … stocks at the disaggregate level. Moreover, the spillovers of bad and good volatility are transmitted at different magnitudes … that sizably change over time in different sectors. While negative spillovers are often of substantial magnitudes, they do …

Asymmetries in volatility spillovers are highly relevant to risk valuation and portfolio diversification strategies in … quantify asymmetries in volatility spillovers due to bad and good volatility. Two, using high frequency data covering most … volatility may spill over at different magnitudes. This paper fills this gap with two contributions. One, we suggest how to …

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 …, this paper seeks to analyze volatility spillover, co-movements, independence and contagion in the Chinese, Japanese …

This paper examines mean and volatility spillovers between the Turkish stock market with international stock, exchange … examine cross — asset spillovers and how they vary across two periods of financial market crisis; the dotcom crash and the … periods of markets stress. Over the dotcom period spillovers are largely between the same asset class, notably two exchange …

EGARCH model. Empirical results indicate significant return and volatility spillover effects during the full sample and the …-movements, and strong volatility persistence. During the Russian Great Recession subsample, the ownreturn effects of the markets are … partially integrated and the volatility transmission linkages across them are not that strong in crises periods, thus confirming …

time-varying nature of volatility spillovers. The results reveal that: volatility spillovers measures change over time …; most of the volatility spillovers are observed within the two groups of markets: food markets and “non-food” markets; corn …The aim of this study is to investigate sources of food prices volatility. The analysis uses daily series for …

framework is a bivariate volatility model, where volatility spillovers of either positive or negative sign are allowed for. Our … countries. Regarding the volatility spillovers, such spillovers from bond returns to those of stocks are stronger than the other … results show that by considering time-varying return and volatility spillovers when calculating the risk-minimising portfolio …