) methodology to daily stock prices of the largest 40 U.S. financial institutions to construct a volatility connectedness index. We …, profitability, asset growth, debt, illiquidity, idiosyncratic volatility and downside beta. They are, however, driven by smaller …

to construct a volatility connectedness index. We then estimate the contemporaneous return sensitivity of every non …, illiquidity, and idiosyncratic volatility. Abnormal returns are asymmetric; they are primarily driven by firms whose returns …

about the impact of oil price volatility on the real economy have been recently fuelled by the positive correlation between … temporal dependence in oil prices volatility on financial industry firms’ returns. The GARCH model is complemented by Granger …–December 2019. Our results show that the relationship between stock prices and oil price volatility is significant in the CEE …

's subsequent volatility in both spot and futures markets. Financial derivatives, which are not only highly representative of the … futures. The purpose of the paper is to investigate the co-volatility spillovers within and across the US energy and financial … sectors in both spot and futures markets, by using "generated regressors" and a multivariate conditional volatility model …

’s subsequent volatility in both spot and futures markets. Financial derivatives, which are not only highly representative of the … futures. The purpose of the paper is to investigate the co-volatility spillovers within and across the U.S. energy and … financial sectors in both spot and futures markets, by using “generated regressors” and a multivariate conditional volatility …