) methodology to daily stock prices of the largest 40 U.S. financial institutions to construct a volatility connectedness index. We …, profitability, asset growth, debt, illiquidity, idiosyncratic volatility and downside beta. They are, however, driven by smaller …

to construct a volatility connectedness index. We then estimate the contemporaneous return sensitivity of every non …, illiquidity, and idiosyncratic volatility. Abnormal returns are asymmetric; they are primarily driven by firms whose returns …

rare earth markets were net volatility transmitters, whereas the Dow Jones Australia Sustainability Index (ASI), China …The high volatility and energy usage of rare earths have raised sustainable and financial concerns for … environmentalists and sustainable investors. Therefore, this paper aims to investigate time-varying volatility transmission among rare …

The paper considers the problem as to whether financial returns have a common volatility process in the framework of … stochastic volatility models that were suggested by Harvey et al. (1994). We propose a stochastic volatility version of the ARCH … test proposed by Engle and Susmel (1993), who investigated whether international equity markets have a common volatility …