Volatility clustering and fat tails are prominently observed in financial markets. Here, we analyze the underlying … volatility. Second, we introduce three different indicators to predict those onsets. Each of the three indicators is derived from …, yet, over very short time horizons high or rising volatility exhibits some predictive power. …

formulate and examine precise and separate measures of return spillovers and volatility spillovers. Our framework facilitates … evidence of divergent behavior in the dynamics of return spillovers vs. volatility spillovers: Return spillovers display a … gently increasing trend but no bursts, whereas volatility spillovers display no trend but clear bursts …

breakpoints. The authors allow for efficiency and volatility spillovers to be time-varying and consider break dates to locate …/value The originality of this study is performed by the use of time-varying models for volatility spillovers and informational …