Using high-frequency data from the MTS trading platform, we examine return and volatility spillover effects across … securities of core countries are the largest net volatility transmitters whereas the shorter-term benchmarks of periphery … countries are the leading net receivers of volatility shocks. Moreover, the short-end and the long-end of the yield curve in …

This paper uncovers the dynamics of the asymmetric volatility spillovers across three majorcryptocurrencies (Bitcoin … 2018 to 5th June 2021, the main findings are summarized as follows:Firstly, negative (bad) volatility spillovers are more … pronounced than positive (good)spillovers, revealing the presence of asymmetric volatility effects in the cryptocurrency market …

The key objective of this study is to investigate the return and volatility spillover effects among stock market … trivariate VAR BEKK GARCH (1,1) model, the study finds that there are significant return and volatility spillover effects between … and the US stock market to the Korean stock market, and the volatility spillover effect from the Japanese stock market to …

The key objective of this study is to investigate the return and volatility spillover effects among stock market … trivariate VAR BEKK GARCH (1,1) model, the study finds that there are significant return and volatility spillover effects between … and the US stock market to the Korean stock market, and the volatility spillover effect from the Japanese stock market to …

In the paper, we research on the presence of long-range dependence in returns and volatility of BUX, PX and WIG between … volatility of all three indices. The results for returns are contradictory with several studies which claim that developing …

to advanced market volatility spillovers. These markets may thus provide international diversification opportunities for …This study examines the determinants of time-varying return volatility of Africa's equity markets using monthly indices … of eight top African stock markets. The conditional variance is modelled as a proxy for Africa's volatility indices using …

to advanced market volatility spillovers. These markets may thus provide international diversification opportunities for …This study examines the determinants of time-varying return volatility of Africa's equity markets using monthly indices … of eight top African stock markets. The conditional variance is modelled as a proxy for Africa's volatility indices using …