In this paper, we examine how to quantify asymmetries in volatility spillovers that emerge due to bad and good … volatility. Using data covering most liquid U.S. stocks in seven sectors, we provide ample evidence of the asymmetric … connectedness of stocks at the disaggregate level. Moreover, the spillovers of bad and good volatility are transmitted at different …

the long-run relation between these two markets and explores the possible common volatility feature in the spirit of Engle …

This paper suggests how to quantify asymmetries in volatility spillovers that emerge due to bad and good volatility … stocks at the disaggregate level. Moreover, the spillovers of bad and good volatility are transmitted at different magnitudes …

-AGARCH) model to examine both return and volatility spillovers from the USA (developed) and China (Emerging) towards eight emerging … volatility was transmitted from the USA to the majority of the Asian stock markets during the Chinese stock market crash … calculate the optimal weights and hedge ratios for the stock portfolios. Our results reveal that both return and volatility …

propose a coskewness-volatility-managed momentum strategy that reduces the reversal risk of the baseline WML strategy by 61 …% and that of the volatility-managed momentum strategy (Barosso and Santa-Clara, 2015) by 20% for US stocks. The returns of … our strategy generate a slightly positive skewness in contrast with the negative skewness of the WML and volatility …

, to February 12, 2021, this study documents a strong positive comovement between implied volatility indices and two … proxies of the COVID-19 fear. However, in all the cases, the infectious disease equity market volatility index (IDEMVI), the … COVID-19 proxy that is more representative of the stock market, exhibits a stronger positive comovement with volatility …