During crises, stock market volatility generally rises sharply, and as consequence, spillovers are identified across … markets. This study estimates the volatility spillover among twelve European stock markets representing all four regions of … Diebold and Yilmaz, we use static and rolling windows to characterize five-minute volatility spillovers. Our results show that …

and domestic exchange rates, surprisingly, little empirical research has examined volatility spillovers between oil prices …Despite the fact that there is a substantial literature on the analysis of volatility spillovers between stock returns … to some energy markets (oil, natural gas and electricity) and also to the international pressures that may arise from …