Lee, Woo Suk; Lee, Hahn-shik - In: Borsa Istanbul Review 22 (2022) 2, pp. 341-351
. Based on the realized semi-volatility indices, we find that the impact of bad volatility strictly dominates good volatility ….S. volatility shock on other countries have been due primarily to bad volatility. In the dynamic analysis, we observe highly … volatility connectedness have been witnessed, inter alia, during the global financial crisis and the European debt crisis. The …