-2009 financial crisis. We show that financial distress alone cannot explain the size and persistence of comovements. Instead, we …

Volatility is a key measure of risk in financial analysis. The high volatility of one financial asset today could … affect the volatility of another asset tomorrow. These lagged effects among volatilities - which we call volatility … freedom. Moreover, we study volatility spillovers among a large number of assets. To this end, we use penalized estimation of …

This paper employs a VAR-BEKK GARCH model to examine the shock transmission and volatility spillover (STVS) effects …

markets, namely, oil price returns and oil price volatility. Seemingly unrelated regressions (SUR) are utilized to estimate … the effect of oil factors on commonality in liquidity. We find that the returns and volatility of oil prices explain the … volatility is more pronounced for net oil exporters as opposed to net oil importers after controlling for oil sensitivity. These …

persistence increases during periods of high volatility compared with low volatility. The estimation of a bivariate GARCH model … time-varying persistence in their corresponding conditional volatilities over the crisis period; in particular, such … further shows the existence of time-varying volatility spillovers between these returns during the different stages of such a …

(ETFs) amplified the volatility transmission channel introduced by financialization. This paper focuses on the volatility … an impact on the volatility of commodity prices, predominantly for non-energy commodities. However, the impact on … volatility is not symmetric across all commodities. The analysis of index investment and investors' positions in futures markets …

(ETFs), amplified the volatility transmission channel introduced by financialization. This paper focuses on the volatility … an impact on the volatility of commodity prices, predominantly for non-energy commodities. However, the impact on … volatility is not symmetric across all commodities. The analysis of index investment and investors’ positions in futures markets …

We study volatility spillovers among commodity and equity markets by employing a recently developed approach based on …-autoregressions. This enables us to measure total, directional and net volatility spillovers as well as the asymmetry of responses to … global financial crisis of 2008. Our empirical analysis reveals that on average, the volatility shocks related to other …

-2009 financial crisis. We show that financial distress alone cannot explain the size and persistence of comovements. Instead, we …