This paper, using T-GARCH models, finds that the United States has been the major source of price and volatility … spillovers to stock markets in the Asian region during three different periods in the last decade: the pre-Long Term Capital … ""stock market correction"" period. There is also evidence of structural breaks in the stock price and volatility dynamics …

volatility spillovers during global financial crisis and tranquil periods. The resulting market interconnectedness is depicted by … between markets and somewhat weaker temporal effects with regard to the US equity market - volatility spillovers decrease when … markets are characterized by greater temporal proximity. Volatility spillovers also present a high degree of …

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 …