Asymmetries in volatility spillovers are highly relevant to risk valuation and portfolio diversification strategies in … volatility may spill over at different magnitudes. This paper fills this gap with two contributions. One, we suggest how to … quantify asymmetries in volatility spillovers due to bad and good volatility. Two, using high frequency data covering most …

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 divergence in monetary policy regimes affects forex volatility spillovers but that adding oil to a forex portfolio … shocks dominate forex volatility connectedness, positive shocks prevail when oil and forex markets are assessed jointly …

that divergence in monetary policy regimes affects forex volatility spillovers but that adding oil to a forex portfolio … shocks dominate forex volatility connectedness, positive shocks prevail when oil and forex markets are assessed jointly …

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 … global financial crisis of 2008. Our empirical analysis reveals that on average, the volatility shocks related to other …

, making the study of their volatility crucial for portfolio managers and traders. We investigate the volatility connectedness … dynamics of a representative set of eight major crypto assets. Methodologically, we decompose the measured volatility into …. Furthermore, existing asymmetry from good and bad volatility indicates that information about market downturns spills over …