return and volatility spillover between the S&P 500 and 12 Asian stock markets using weekly data from January 2000 to … February 2020. DECO-GARCH models are employed to measure volatility transmission between markets. A generalized VAR, variance … the interdependence of the conditional returns, conditional volatility, and conditional correlations between the stock …

spillovers between international crude oil and associated financial markets. The paper investigates co-volatility spillovers … the conditional covariances will be used for testing co-volatility spillovers, and policy recommendations. Based on these …The primary purpose of the paper is to analyze the conditional correlations, conditional covariances, and co-volatility …

This study uses the BEKK-GARCH model to examine the return-and-volatility spillover between the world-leading markets … during the global financial crisis and the crash of the Chinese stock market. Regarding volatility spillover, the results … show the bidirectional volatility transmission between the US and the stock markets of Chile and Mexico during the global …

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 … that sizably change over time in different sectors. While negative spillovers are often of substantial magnitudes, they do …

This study examines volatility spillover dynamics among the S&P 500 index, the US 10-year Treasury yield, the US dollar … policy on the US financial markets. We use realized volatility measures based on daily data covering the period from December … 29, 1996 to November 12, 2018. To address nonlinear and asymmetric spillover dynamics in low and high volatility states …

presence of low level of integration and contagion between U.S. Bitcoin and financial markets. Asymmetric nature of volatility … insignificant effect on U.S. financial markets. This non-contagion nature of Bitcoin markets provides significant risk hedging and …This paper investigates the volatility spillover dynamics between U.S. Bitcoin and financial markets from July 19, 2010 …

using volatility impulse response analysis. The data set features ten years of daily returns series for the New York Stock … independent shocks on volatility through time, while avoiding typical orthogonalization and ordering problems. Volatility impulse … response functions (VIRF) provide information about the impact of independent shocks on volatility. HHś VIRF extends a …

-AGARCH) model to examine both return and volatility spillovers from the USA (developed) and China (Emerging) towards eight emerging … calculate the optimal weights and hedge ratios for the stock portfolios. Our results reveal that both return and volatility … volatility was transmitted from the USA to the majority of the Asian stock markets during the Chinese stock market crash …