return and volatility spillover between the S&P 500 and 12 Asian stock markets using weekly data from January 2000 to … February 2020. DECO-GARCH models are employed to measure volatility transmission between markets. A generalized VAR, variance … the interdependence of the conditional returns, conditional volatility, and conditional correlations between the stock …

spillovers to the local stock exchange index and to the government bond secondary market prices. Moreover, a high correlation …

Reviewing the definition and measurement of speculative bubbles in context of contagion, this paper analyses the DotCom … as an econometrics explanation and on the other hand the behavioral finance as an psychological explanation. Contagion is …. Even it is astonishing, that the contagion is lower during price bubbles, the main finding indicates the presence of …

This paper develops a methodology for detecting and measuring contagion using high frequency data which disentangles … debate by considering the time-varying evidence for contagion at both the firm level and the sectorial level impacts. A … number of insurance companies exhibits bank-like characteristics. Our evidence for contagion effects from banks to the real …

contagion, triggered by the change in the creditworthiness of a network member. I further extend the model to analyse not only … negative, but also positive credit risk spillovers …

This study examines volatility spillover dynamics among the S&P 500 index, the US 10-year Treasury yield, the US dollar … policy on the US financial markets. We use realized volatility measures based on daily data covering the period from December … 29, 1996 to November 12, 2018. To address nonlinear and asymmetric spillover dynamics in low and high volatility states …

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 …