This paper presents a new approach for modelling the connectedness between asset returns. We adapt the measure of … connectedness measure hinges on critical assumptions with regard to the variance-covariance matrix of the error terms. We propose to …. In a Monte Carlo study we compare the different connectedness measures and discuss their advantages and disadvantages. In …

We analyze total, asymmetric and frequency connectedness between oil and forex markets using high-frequency, intra … with realized semivariances to account for asymmetric and frequency connectedness, we obtain interesting results. We show … decreases the total connectedness of the mixed portfolio. Asymmetries in connectedness are relatively small. While negative …

This paper presents an analysis of the volatility connectedness of major bank stocks in the South East Asia (SEACEN …) region between 2004 and 2016. Applying the Diebold-Yilmaz Connectedness Index (DYCI) framework to daily stock return … dynamic bank volatility network. The volatility connectedness increased substantially during the US financial crisis (from …

This study employs the connectedness measure of Diebold and Yilmaz (2012, 2014) to examine the intensity of … connectedness among the Nigerian financial markets for the period January 2000 to December 2018. The study used all shares index …, respectively. The study found connectedness among the Nigerian financial markets to be highly time-varying and appear to be higher …