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 …

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 …

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

This paper studies the intertemporal relation between U.S. volatility risk and international equity risk premia. We … show that a common volatility risk factor constructed from the option-implied U.S. forward variances positively and … robust to the inclusion of existing domestic and U.S. predictors and alternative U.S. volatility risk proxies. The …

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 …

The present study addresses the economic interpretation of stock market volatility. We argue that its character is … volatility. This exploits the revealed reaction of investors to gauge the degree of information and uncertainty ascribed to … volatility. We estimate simultaneous timevarying coefficient models, using data of US and further stock markets. We find the …

daily S&P500, the US Treasury Bond Index (USTB), the S&P Green Bond Index (GREEN) and the Dow Jones (DJ) Islamic World …