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 …

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 …

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 …

This paper studies the nature of volatility spillovers across countries from the per-spective of network theory and by … relying on data of US-listed ETFs. I use a Lasso-related technique to estimate the International Volatility Network (IVN …) where the nodes correspond to large-cap international stock markets while the links account for significant volatility lead …

This paper studies the nature of volatility spillovers across countries from the perspective of network theory and by … relying on data of US-listed ETFs. I use a Lasso-related technique to estimate the International Volatility Network (IVN …) where the nodes correspond to large-cap international stock markets while the links account for significant volatility lead …

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 aims to examine the volatility spillovers among three asset classes, namely, equity, currency and credit … in order to take into account the volatility asymmetry effect under both its leverage effect and, also, in relation to … to good or bad news impacting separately. We find that the stock market is the main channel through which volatility …

This paper investigates the volatility spillover dynamics between U.S. Bitcoin and financial markets from July 19, 2010 … to December 29, 2017. Diebold and Yilmaz (2012) volatility spillover index, Barunik, Kocenda, and Vacha (2017) Spillover … varying dynamics of volatility spillover among U.S. Bitcoin and financial markets. The findings of the study indicate the …

small minority of different cases. Investigating further we find that all volatility series show persistence breaks during …