This paper examines the effects of persistence, asymmetry, and the US Sub-prime Mortgage crisis on the volatility of … the returns and also the linkages and causality between the spot and futures volatility by using various classes of the … distributions. The magnitude of the volatility in returns of the spot and the futures market are similar, and therefore there is no …

volatility spillovers during global financial crisis and tranquil periods. The resulting market interconnectedness is depicted by … between markets and somewhat weaker temporal effects with regard to the US equity market - volatility spillovers decrease when … markets are characterized by greater temporal proximity. Volatility spillovers also present a high degree of …