This paper presents an analysis of the dynamic measures of volatility connectedness of major bank stocks in the US and … direction of the volatility connectedness was from the US banks towards the EU banks. However, once the financial crisis became … global in the last quarter of 2008, volatility connectedness became bi-directional. The surge in volatility connectedness …

We propose a general framework for measuring frequency dynamics of connectedness in economic variables based on … connectedness of variables as shocks with heterogeneous frequency responses will create frequency dependent connections of different … sources of connectedness. Giving up the assumption of global stationarity of stock market data and approximating the dynamics …

This paper examines the direction and extent of the asymmetric volatility connectedness among international equity … markets using 5-minute interval data from 16 stock markets. We analyze asymmetric volatility connectedness using realized … volatility and identify the magnitude of the volatility spillover and of the connectedness through networks. We decompose …