account for asymmetries of return and volatility spillover effects from the US equity market into Canada and Mexico. Unlike … previous research, we model the conditional volatility of the returns in each of the three markets using the asymmetric power … model of Ding, Granger and Engle (1993). The empirical results indicate that volatility spillover effects, but not mean …

The key objective of this study is to investigate the return and volatility spillover effects among stock market … trivariate VAR BEKK GARCH (1,1) model, the study finds that there are significant return and volatility spillover effects between … and the US stock market to the Korean stock market, and the volatility spillover effect from the Japanese stock market to …

of England (BoE) and the Bank of Japan (BoJ) on the intraday volatility transmissions among EUR, GBP and JPY. The … empirical results indicate: (i) an increased volatility transmission from EUR to JPY and GBP around the ECB announcements, and … from GBP to EUR over the BoE announcements, (ii) the ECB and BoE announcements significantly increase the volatility of EUR …

The key objective of this study is to investigate the return and volatility spillover effects among stock market … trivariate VAR BEKK GARCH (1,1) model, the study finds that there are significant return and volatility spillover effects between … and the US stock market to the Korean stock market, and the volatility spillover effect from the Japanese stock market to …

We study spillovers among daily returns and innovations in option-implied risk-neutral volatility and skewness of the G … federal funds rate and increases in periods of financial stress. During these times, volatility spillovers and especially … skewness spillovers between currencies increase, reflecting greater systematic risk. Likewise, linkages between returns and …

This paper empirically analyses the evidence of intra-spillovers and inter-spillovers between foreign exchange and … transitory components of the conditional variance exhibit several well-known peaks in volatilities; (ii) the long-run volatility … relationships are stronger than the short-run linkages volatility with a reinforcement during the post-global financial crisis …

market statuses is generally asymmetric. Besides, for most countries, the scale and volatility of risk spillovers are more …We apply a dependence-switching copula model to study major industrial countries' asymmetric risk spillovers between …

, foreign exchange, and commodity markets. We find that informational spillover comes mainly from volatility indices to … spillover from volatility to the sentiment, but a marginal effect for the opposite direction. The connectedness between … sentiment and volatility increases in turbulent economic periods, such as the Global Financial Crisis, Brexit, the US …

, foreign exchange, and commodity markets. We find that informational spillover comes mainly from volatility indices to … spillover from volatility to the sentiment, but a marginal effect for the opposite direction. The connectedness between … sentiment and volatility increases in turbulent economic periods, such as the Global Financial Crisis, Brexit, the US …

-regional volatility spillovers among the Central European foreign exchange markets. With the exception of the Czech currency, we find no … spillover index, and show that volatility spillovers tend to increase in periods characterized by market uncertainty …This paper studies the dynamics of volatility transmission between Central European currencies and euro/dollar foreign …