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 …

framework is a bivariate volatility model, where volatility spillovers of either positive or negative sign are allowed for. Our … countries. Regarding the volatility spillovers, such spillovers from bond returns to those of stocks are stronger than the other … results show that by considering time-varying return and volatility spillovers when calculating the risk-minimising portfolio …

Even though volatility spillover effects in global equity markets have been documented extensively, the transmission of … illiquidity. We empirically study the illiquidity and volatility spillover effects in eight developed equity markets during and … after the recent financial crisis. The results indicate that equity markets are interdependent, both in terms of volatility …