demonstrate that geopolitical risk plays an important role in determining both oil price volatility and (to a lesser extent) stock … market volatility. An increase in geopolitical risk is associated with positive (negative) oil (stock) returns and is … correlation. This model shows short- and long-term volatility persistence for oil and stock prices, together with spillover …

to capture markets' dependencies and volatility spillovers and is employed on a single market level as well as on the …

Volatility spillover among major equity markets has long fascinated academicians and researchers alike. This paper … econometric methodologies. Some have considered only volatility or both volatility and spillover. Still others have incorporated … the impact of global financial crisis on volatility spillover. Future researchers should examine if there is any …

of England (BoE) and the Bank of Japan (BoJ) on the intraday volatility transmissions among EUR, GBP and JPY. The … empirical results indicate: (i) an increased volatility transmission from EUR to JPY and GBP around the ECB announcements, and … from GBP to EUR over the BoE announcements, (ii) the ECB and BoE announcements significantly increase the volatility of EUR …

This study investigates the impact of macroeconomic instabilities on returns volatility spillover that is transmitted … derive values of volatility for all variables; an asymmetry dynamic conditional correlation (ADCC) model to produce a measure … of volatility spillover as the dependent variable; and a panel data regression technique to assess the causality …

This paper uses the multivariate GARCH methodology to investigate spillover effects of deposit rates and its volatility … the volatility level, deposit rate volatility spillover is from Germany to Japan, from the United Sates to Japan, and from …

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 …

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

This study uses the BEKK-GARCH model to examine the return-and-volatility spillover between the world-leading markets … during the global financial crisis and the crash of the Chinese stock market. Regarding volatility spillover, the results … show the bidirectional volatility transmission between the US and the stock markets of Chile and Mexico during the global …