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 …

During crises, stock market volatility generally rises sharply, and as consequence, spillovers are identified across … Diebold and Yilmaz, we use static and rolling windows to characterize five-minute volatility spillovers. Our results show that … 77.80% of intraday volatility forecast error variance in twelve European markets comes from spillovers. Furthermore, the …

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 …