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 …

framework is a bivariate volatility model, where volatility spillovers of either positive or negative sign are allowed for. Our … countries. Regarding the volatility spillovers, such spillovers from bond returns to those of stocks are stronger than the other … results show that by considering time-varying return and volatility spillovers when calculating the risk-minimising portfolio …

Eurozone economies. Particularly, the issue of exposing the potential crisis transmission channels has attracted considerable … number of series drawn from the money, equity and bond markets, as well as from the banking sector of each Eurozone country … financial stress, while the same holds for the core Eurozone countries. Additionally, in contrast to common wisdom, financial …

Purpose - This article examines volatility spillovers, cross-market correlation, and comovements between selected … Methodology - We propose to estimate and model volatility using GARCH family models for selected European markets. We aim to … explore volatility movement, presence of leverage effect/ asymmetry in selected financial markets. Findings - The econometric …

It has been established in the literature that volatility of stock returns exhibits complex properties of not only … volatility clustering, but also long memory, regime change, and substantial outliers during turbulent and calm periods. Hence …, this paper seeks to analyze volatility spillover, co-movements, independence and contagion in the Chinese, Japanese …

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 conducts an investigation of volatility transmission between stock markets in Hong Kong, Europe and the … United States covering the time period from 2000 up to 2011. Using intradaily data we compute realized volatility time series … breaks in volatility spillovers. Particularly during the financial crisis of 2007, we find effects consistent with the notion …