This paper examines the direction and extent of the asymmetric volatility connectedness among international equity … markets using 5-minute interval data from 16 stock markets. We analyze asymmetric volatility connectedness using realized … volatility and identify the magnitude of the volatility spillover and of the connectedness through networks. We decompose …

The connectedness dynamics between large-, mid-, and small-cap stocks is investigated using the forecasted error … variance decomposition (FEVD) spillover framework of Diebold and Yilmaz in the time-frequency domain. Total volatility … spillover (i.e., connectedness) is elevated between large-, mid-, and small-cap stocks during the study period. This high level …

volatility regime during the COVID-19 outbreak, which is consistent with the notion of contagion during stress periods. …The aim of this study is to examine the daily return spillover among 18 cryptocurrencies under low and high volatility … results indicate various patterns of spillover in high and low volatility regimes, especially during the COVID-19 outbreak …