, this paper seeks to analyze volatility spillover, co-movements, independence and contagion in the Chinese, Japanese …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 …

Financial market volatility is an important element when setting up port- folio management strategies, option pricing … and market regulation. The Subprime crisis affected all markets around the world. Daily data of twelve stock indexes for … bigger impact on stock market volatility, namely at sensitivity, persistence and asymmetric effects. …

Predicting volatility is a must in the finance domain. Estimations of volatility, along with the central tendency … research is to analyze the influence of COVID-19 on the return and volatility of the stock market indices of the top 10 … volatility remains higher than in normal periods, signaling a bearish tendency in the market. The COVID variable, as an exogenous …

)variances of the US Dow Jones and the German stock index DAX, we analyze intra-daily volatility spillovers between the US and …-synchronous and partially overlapping opening hours of the two markets. We find evidence of significant short-term volatility …-term volatility shocks is considerably higher and the spillovers effects between the US and the German stock markets are significantly …

We investigate the ambiguity spillover among international equity markets. We follow Brennan and Izhakian (2018) and … develop monthly ambiguity measures using high-frequency trading data of equity indices. The ambiguity spillover demonstrates … similarly symmetric spillover effects among different markets …