intra-day temporal aggregation in examining returns relationships and volatility spillovers across the equity and energy … futures markets, and the effects of overnight returns, volume, realized volatility, asymmetry, and spillovers across the four … spillovers, and dynamic conditional correlations and covariances, show that the relationships between the stock market and …

Asymmetries in volatility spillovers are highly relevant to risk valuation and portfolio diversification strategies in … quantify asymmetries in volatility spillovers due to bad and good volatility. Two, using high frequency data covering most … in different sectors, and the asymmetries sizably change over time. While negative spillovers are often of substantial …

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 …