The study of volatility spillovers provides useful insights into how information is transmitted from stock market to … foreign exchange market and vice versa. This paper explores volatility spillovers between the Indian stock and foreign … exchange markets. The results indicate that there exists a bidirectional volatility spillover between the Indian stock market …

In a period of strong upheavals in India's foreign exchange market, the present study investigates the price discovery … and volatility spillovers between spot and futures prices of four major international currencies traded on two trading … platforms in India. The price discovery results confirm the long-run equilibrium relationship between spot and futures prices of …

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

We analyze time-varying exchange rate co-movements and volatility spillovers between the Czech koruna, the Polish zloty … volatilities are due to each currency's own history. However, during the distress periods volatility spillovers among currencies …

This paper investigates the volatility spillover dynamics between U.S. Bitcoin and financial markets from July 19, 2010 … to December 29, 2017. Diebold and Yilmaz (2012) volatility spillover index, Barunik, Kocenda, and Vacha (2017) Spillover … varying dynamics of volatility spillover among U.S. Bitcoin and financial markets. The findings of the study indicate the …