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 …

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 …

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 …

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 …

This paper examines volatility spillovers from mature to emerging stock markets and tests for changes in the …. -- Volatility spillovers ; contagion ; stock markets ; emerging markets …

This paper examines volatility spillovers from mature to emerging stock markets and tests for changes in the …. -- Volatility spillovers ; contagion ; stock markets ; emerging markets …

This paper models volatility spillovers from mature to emerging stock markets, tests for changes in the transmission … tend to be unchanged or lower during turbulences. -- Volatility spillovers ; Contagion ; Stock markets ; Emerging markets … estimated for 41 emerging market economies (EMEs). Wald tests suggest that mature market volatility affects conditional …