Mensi, Walid; Maitra, Debasish; Xuan Vinh Vo; Kang, … - In: Borsa Istanbul Review 21 (2021) 3, pp. 291-306
This paper examines the direction and extent of the asymmetric volatility connectedness among international equity … markets using 5-minute interval data from 16 stock markets. We analyze asymmetric volatility connectedness using realized … volatility and identify the magnitude of the volatility spillover and of the connectedness through networks. We decompose …
