Asymmetries in volatility spillovers are highly relevant to risk valuation and portfolio diversification strategies in … volatility may spill over at different magnitudes. This paper fills this gap with two contributions. One, we suggest how to … quantify asymmetries in volatility spillovers due to bad and good volatility. Two, using high frequency data covering most …

return volatility. The model significantly improves prediction of the state of the economy using fully revised data. Real …

parameters are used to capture the market performance such as daily return, Volatility of daily return, market capitalization and … or we can say there is no impact of recession for that particular sector. -- volatility ; stock market and return …

This paper examines whether macroeconomic instability can influence stock market volatility in a sample of 5 emerging … discordant from one country to another, but when a dynamic panel GMM is estimated, exchange rate volatility is found to be the …

This paper examines long memory volatility in international stock markets. We show that long memory volatility is … memory in volatility than emerging and frontier countries and that stock market jumps are negatively correlated with long … memory of volatility. Overall, our results provide some evidence of a link between stock market uncertainty and macroeconomic …

analyzed the effect that stock returns, volatility, and sentiment have on corporate bond volatility using the EGARCH(1,1) model … COVID-19 pandemic. The results of this study suggested significant impacts of stock returns, volatility, and sentiment on … corporate bond volatility, although the degree of influence of these three factors changed throughout the studied period …

States of the European Union, to test if the same short-run increase in cyclical volatility arising from financial … mature market economies, reduces cyclical volatility both in the short and in the long run. Weak indications are found that …