volatility spillovers during global financial crisis and tranquil periods. The resulting market interconnectedness is depicted by … between markets and somewhat weaker temporal effects with regard to the US equity market - volatility spillovers decrease when … markets are characterized by greater temporal proximity. Volatility spillovers also present a high degree of …

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 …

This study made a pioneering attempt to investigate volatility spillover from G5 countries stock markets to Karachi … this study are France, Germany, Japan, UK and US. Johansen and Juselius cointegration test was applied to explore long run … relationship between KSE and G5 equity markets. The volatility spillover has been analyzed by GARCH (generalized autoregressive …