with the US stock market volatility during the pandemic period. Using the wavelet coherence analysis, we first find that … there is a positive relationship between the volatility and death tolls. Second, while in the short term the sizable … volatility have a negative relationship. Finally, the monetary policy and the volatility have much stronger coherency than the …

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 …

This paper suggests how to quantify asymmetries in volatility spillovers that emerge due to bad and good volatility … stocks at the disaggregate level. Moreover, the spillovers of bad and good volatility are transmitted at different magnitudes …