This paper constructs a global tail risk (GTR) index and examines the role of GTR in predicting the volatility of … international stock markets. Our empirical results emphasize that GTR contains valuable information to predict the stock volatility … improve the forecasting accuracy of international stock market volatility, especially considering the time-varying regime …

This article studies the connectedness between economic sectors of the Polish stock market. The sectors that are … analysis of the connectedness among sectors is conducted from a statistical and dynamic perspective. Using the time …-varying parameter vector autoregression (TVP-VAR) method, the intensity, direction and variation of volatility spillover between the …

financial markets favours the volatility and return spillover between them. The current study analyses the volatility spillover … proposed by Antonakakis and Gabauer (2017) is used to estimate the evolution in time of volatility spillover. The empirical … results obtained for the period January 2001 - September 2021 highlight the increase in volatility spillover between the …

This study examines the spillover and connectedness network among the United States and the Association of Southeast … Asian Nations (ASEAN)+6 stock market returns during times of uncertainty in the world economy, such as the COVID-19 pandemic …

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 …