This paper studies the nature of volatility spillovers across countries from the per-spective of network theory and by … relying on data of US-listed ETFs. I use a Lasso-related technique to estimate the International Volatility Network (IVN …) where the nodes correspond to large-cap international stock markets while the links account for significant volatility lead …

This paper studies the nature of volatility spillovers across countries from the perspective of network theory and by … relying on data of US-listed ETFs. I use a Lasso-related technique to estimate the International Volatility Network (IVN …) where the nodes correspond to large-cap international stock markets while the links account for significant volatility lead …

spillovers between international crude oil and associated financial markets. The paper investigates co-volatility spillovers … the conditional covariances will be used for testing co-volatility spillovers, and policy recommendations. Based on these …The primary purpose of the paper is to analyze the conditional correlations, conditional covariances, and co-volatility …

Reviewing the definition and measurement of speculative bubbles in context of contagion, this paper analyses the DotCom … as an econometrics explanation and on the other hand the behavioral finance as an psychological explanation. Contagion is …. Even it is astonishing, that the contagion is lower during price bubbles, the main finding indicates the presence of …

This study uses the BEKK-GARCH model to examine the return-and-volatility spillover between the world-leading markets … during the global financial crisis and the crash of the Chinese stock market. Regarding volatility spillover, the results … show the bidirectional volatility transmission between the US and the stock markets of Chile and Mexico during the global …

breaks) in the volatility of financial time series. Comparative study of three techniques: ICSS, NPCPM and Cheng's algorithm … breaks in volatility, while Cheng's technique works well only when a single break occurs. …

, crude oil, gold and currency compared to commodities, bonds and real estate. Furthermore, we test the effective hedging … ability of these funds by estimating hedge ratios and optimal portfolio weights. Taking a short position in the volatility of … the funds provides impeccable hedging effectiveness for all asset classes, except currency …