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 …

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 …

In this survey article, we present a rich extent of literature on volatility and its propagation on financial markets …

This study uses the Multiplicative Error Model (MEM) to explore asymmetric volatility spillovers between crude oil and … other major asset markets. We have extended the MEM of Engle et al. (2012) and ddd to include asymmetric volatility … vary over time. Our results reveal that the stock market is the dominant contributor to volatility spillover, while the …

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 …

negative, but, during the Covid-19 pandemic, the carry trade is the main net transmitter of volatility to all markets. Our …

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

This paper introduces a novel model to analyse the impact of macroeconomic shocks on volatility spillovers within key … market volatility, our study distinguishes between internal financial volatility spillovers and external shocks arising from … source of volatility spillovers, with Crude Oil being the principal spillover recipient. However, the Stock market's role in …

This study analyzes the volatility spillover effects in the US stock market (S&P500) and cryptocurrency market (BGCI … asymmetric volatility transmission on both markets. We apply MGARCH-BEKK and the algorithm-based GA2M machine learning model. The … study also indicates evidence of unidirectional cross-market asymmetric volatility transmission from the cryptocurrency …

-daily volatility dynamics across four continental European markets. We use a dynamic linear model of expected daily range which is a … variant of Chou's conditional autoregressive range model. We find significant, but not uniform, range-based volatility …