This paper presents an analysis of the dynamic measures of volatility connectedness of major bank stocks in the US and … direction of the volatility connectedness was from the US banks towards the EU banks. However, once the financial crisis became … global in the last quarter of 2008, volatility connectedness became bi-directional. The surge in volatility connectedness …

markets during the period of January 1999 to April 2021, applying both the connectedness framework and the Time …-Varying Parameter Vector Autoregressive connectedness approach. Our results suggest that 15.67% of the total variance of forecast errors … variation was due to idiosyncratic shocks. Nevertheless, we find that stress connectedness varies over time, with a surge during …