European unemployment rates. They also generate positive comovements in macroeconomic variables and a large relative volatility …

-BEKK model introduced by Engle and Kroner (1995) is employed to analyze the volatility transmission structure. We identify the … is observed. Furthermore we detect unidirectional volatility transmission from the futures to the spot market at highest …

at high-frequency controlling for intraday periodicity, volatility clustering and volatility persistence. We find that …

higher permanent inequality and higher volatility. However, taking the welfare state and its institutions into account, we …

This paper studies the dynamics of stock market volatility and retail investor attention measured by internet search … queries. We find a strong co-movement of stock market indices’ realized volatility and the search queries for their names …. Furthermore, Granger causality is bi-directional: high searches follow high volatility, and high volatility follows high searches …

economy. We show that a systematic central bank reaction on financial market developments dampens macroeconomic volatility …

return and volatility spillover between the S&P 500 and 12 Asian stock markets using weekly data from January 2000 to … February 2020. DECO-GARCH models are employed to measure volatility transmission between markets. A generalized VAR, variance … the interdependence of the conditional returns, conditional volatility, and conditional correlations between the stock …

behavior has a negative effect on stock market volatility. Moreover, such a suppressing effect weakened during the COVID-19 … the market's volatility during the COVID-19 pandemic. The pronounced asymmetry in the herding behavior of the Chinese …