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 …

volatilities for 35 U.S. and European financial institutions. Based on that model we extract a connectedness index in the spirit of … Diebold and Yilmaz (2014) (DYCI). We show that the connectedness index from the TVP-VAR model captures abrupt turning points …

This paper presents an analysis of the volatility connectedness of major bank stocks in the South East Asia (SEACEN …) region between 2004 and 2016. Applying the Diebold-Yilmaz Connectedness Index (DYCI) framework to daily stock return … dynamic bank volatility network. The volatility connectedness increased substantially during the US financial crisis (from …