This study investigates the impact of macroeconomic instabilities on returns volatility spillover that is transmitted … derive values of volatility for all variables; an asymmetry dynamic conditional correlation (ADCC) model to produce a measure … of volatility spillover as the dependent variable; and a panel data regression technique to assess the causality …

Purpose - This article examines volatility spillovers, cross-market correlation, and comovements between selected … Methodology - We propose to estimate and model volatility using GARCH family models for selected European markets. We aim to … explore volatility movement, presence of leverage effect/ asymmetry in selected financial markets. Findings - The econometric …

-MGARCH model to examine the return and volatility spillovers across three distinct classes of cryptocurrencies: coins, tokens, and …-off of March 2020, and that both ARCH and GARCH effects play an important role in determining conditional volatility among … cryptocurrencies. We find a bi-directional relationship for returns and long-term (GARCH) spillovers between BTC and ETH, but only a …

-AGARCH) model to examine both return and volatility spillovers from the USA (developed) and China (Emerging) towards eight emerging … calculate the optimal weights and hedge ratios for the stock portfolios. Our results reveal that both return and volatility … volatility was transmitted from the USA to the majority of the Asian stock markets during the Chinese stock market crash …

This study uses the BEKK-GARCH model to examine the return-and-volatility spillover between the world-leading markets … during the global financial crisis and the crash of the Chinese stock market. Regarding volatility spillover, the results … show the bidirectional volatility transmission between the US and the stock markets of Chile and Mexico during the global …

This paper studies the volatility spillover between oil price and conventional and Islamic stock markets. We use a …. Our findings show particular specificities of Islamic marketplaces in reducing the volatility transmission and lowering … the volatility persistence, which gives the investors and market participants an opportunity in terms of international …

asymmetric effect of return and volatility transmission. We empirically investigate the decoupling hypothesis of Islamic and …

This paper investigates linkages among equity market returns and volatility spillovers in the following countries … volatility spillovers. All of the countries in the sample, with the exception of UK and Turkey, experience volatility spillovers … from other markets. Finally, because of the risk-return trade-off, we analyzed the effect of volatility of the market on …

This study investigates the impact of commodity price volatility spillovers on financial sector stability. Specifically … periods, at which point cross-market volatility spillovers and market interconnectedness sharply and markedly increased … increase in volatility spillovers and interdependence between these markets following the global financial crisis. This is also …