existing research consists of estimating the aforementioned relationship between return, volatility and the search volume …

This paper investigates the conditional correlations and volatility spillovers between crude oil returns and stock … empirical results from the VARMA-GARCH and VARMA-AGARCH models provide little evidence of volatility spillovers between the …

We propose an asymptotic N(0, 1) inferential strategy to test for volatility spillover between markets consisting of … multivariate volatility modeling approach — which enjoys estimation consistency and simplicity — to facilitate higher dimensional …

This article examines the asymmetric volatility spillover effects between Bitcoin and alternative coin markets at the … "pump-and-dump schemes" in the crypto markets. To do that, we estimate the volatility spillovers from Bitcoin to altcoin and … results regarding the presence of this theory for major cryptocurrencies. However, the empirical findings carried out by the …

Even though volatility spillover effects in global equity markets have been documented extensively, the transmission of … illiquidity. We empirically study the illiquidity and volatility spillover effects in eight developed equity markets during and … after the recent financial crisis. The results indicate that equity markets are interdependent, both in terms of volatility …

This paper studies the volatility spillover and dynamic correlation between EU emission allowance (EUA) prices and … for multi-phase analysis of EU ETS, yet only a little empirical evidence backing up the existence of volatility spillover …

This paper analyzes volatility spillovers in multivariate GARCH-type models. We show that the cross-effects between the … conditional variances determine the persistence of the transmitted volatility innovations. In particular, the influence of a … foreign volatility innovation on a conditional variance is even more persistent than an own innovation unless this effect is …

We detect and quantify asymmetries in the volatility spillovers of petroleum commodities: crude oil, gasoline, and … heating oil. The increase in volatility spillovers after 2001 correlates with the progressive financialization of the … commodities. Further, increasing spillovers from volatility among petroleum commodities substantially change their pattern after …

economy increases on other economies. Portfolio diversification theory proposed by Markowitz (1952) suggests that if two … turmoil in these two markets (US & Europe) has affected entire world and a lot of volatility has been observed in all … financial markets around the world. Hence, it becomes imperative to identify the volatility spillover effect from one market to …