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 …

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 …

successfully replicates (1) the volatility of stock prices and (2) the positive correlation between the price dividend ratio and …

fatality ratio, on the financial markets volatility in the United States (US). We consider both COVID-19 global and US figures … and show that the sanitary crisis enhances the S&P 500 realized volatility. Our findings are robust to different model … specifications and suggest that the prolongation of the coronavirus pandemic is an important source of financial volatility …

frequency volatilities and correlations ; Dynamic conditional correlation ; Spline-GARCH ; Idiosyncratic volatility ; Long …