Asymmetries in volatility spillovers are highly relevant to risk valuation and portfolio diversification strategies in financial markets. Yet, the large literature studying information transmission mechanisms ignores the fact that bad and good volatility may spill over at different magnitudes....

This paper suggests how to quantify asymmetries in volatility spillovers that emerge due to bad and good volatility. Using data covering most liquid U.S. stocks in seven sectors, we provide ample evidence of the asymmetric connectedness of stocks at the disaggregate level. Moreover, the...

Fast täglich kommen neue Hiobsbotschaften aus der Wirtschaft und vonseiten der Finanzmärkte. Aktien verlieren dramatisch an Wert, Banken brechen zusammen, Unternehmen aller Branchen bauen Mitarbeiter ab. Die aktuelle Finanzmarktkrise hat die größte und schwerwiegendste Rezession seit der...