exporters. Specifically, the connectedness measures are combined with the structural vector autoregressive model. The findings …

. Employing the connectedness index by Diebold and Yilmaz (2009, 2012) as a new measure of sectoral comovement and using data on …

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 …