-induced volatility …

inopportune time. We examine the linkages between global stock markets using measures of market uncertainty (implied volatility …). Using daily changes in G7 and BRIC implied volatility measures, over a 17-year sample period, we demonstrate that …

This study uses the Multiplicative Error Model (MEM) to explore asymmetric volatility spillovers between crude oil and … other major asset markets. We have extended the MEM of Engle et al. (2012) and ddd to include asymmetric volatility … vary over time. Our results reveal that the stock market is the dominant contributor to volatility spillover, while the …

In this study, we comprehensively examine the volatility term structures in commodity markets. We model state …-dependent spillovers in principal components (PCs) of the volatility term structures of different commodities, as well as that of the … equity market. We detect strong economic links and a substantial interconnectedness of the volatility term structures of …

assets do not exhibit the U-shaped intraday volatility pattern that has been documented for US equities, even if only main … trading hours are considered. Intraday spikes in volatility are driven by the open or close of the market for the respective … volatility patterns, and US macroeconomic news account for a sizable fraction of jump-driven volatility. For some -- but not all …

focuses on volatility, where volatility is derived from a GARCH model. The results suggest that models which account for …