reaction has increased during the recent financial crisis. News volatility has a significant impact on yield spread volatility …

reaction has increased during the recent financial crisis. News volatility has a significant impact on yield spread volatility …

framework is suitable to analyse both mean and volatility spillovers, and also allows for possible parameter shifts resulting … food crisis and 2008 financial crisis leading to the most significant shifts in the (volatility) spillovers between the …

framework is suitable to analyse both mean and volatility spillovers, and also allows for possible parameter shifts resulting … food crisis and 2008 financial crisis leading to the most significant shifts in the (volatility) spillovers between the …

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 …

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 …

We study volatility spillovers among commodity and equity markets by employing a recently developed approach based on …-autoregressions. This enables us to measure total, directional and net volatility spillovers as well as the asymmetry of responses to … transmission. Our results further suggest that volatility spillovers across the analyzed assets were rather limited before the …

This paper aims to examine the volatility spillovers among three asset classes, namely, equity, currency and credit … crisis for the credit market. The Brexit vote is found to be the main event contributing to volatility spillovers in the … negative volatility spillovers and into an increase of positive volatility spillovers in the credit market. According to the …

breakers is necessary to ensure their effectiveness. In doing so, we analyze 2,337 volatility interruptions on Deutsche Boerse … and research whether a volume migration and an accompanying volatility spillover to alternative venues that continue … decreases during circuit breakers on the main market and we do not find any evidence for volatility spillover. Moreover, we show …