This paper studies the volatility spillover between oil price and conventional and Islamic stock markets. We use a …. Our findings show particular specificities of Islamic marketplaces in reducing the volatility transmission and lowering … the volatility persistence, which gives the investors and market participants an opportunity in terms of international …

asymmetric effect of return and volatility transmission. We empirically investigate the decoupling hypothesis of Islamic and …

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 …

This paper investigates linkages among equity market returns and volatility spillovers in the following countries … volatility spillovers. All of the countries in the sample, with the exception of UK and Turkey, experience volatility spillovers … from other markets. Finally, because of the risk-return trade-off, we analyzed the effect of volatility of the market on …

This study investigates the impact of commodity price volatility spillovers on financial sector stability. Specifically …, the study investigates the spillover effects between oil and food price volatility and the volatility of a key …/USD) exchange rate. Volatility spillover is examined using the Generalized Vector Autoregressive (GVAR) approach and Multivariate …

We study volatility spillovers among commodity and equity markets by employing a recently developed approach based on …-autoregressions. This enables us to measure total, directional and net volatility spillovers as well as the asymmetry of responses to … global financial crisis of 2008. Our empirical analysis reveals that on average, the volatility shocks related to other …

This paper aims to examine the volatility spillovers among three asset classes, namely, equity, currency and credit … in order to take into account the volatility asymmetry effect under both its leverage effect and, also, in relation to … to good or bad news impacting separately. We find that the stock market is the main channel through which volatility …

The main aim of this paper is to investigate volatility spillover effects, the impact of past volatility on present … emerging stock markets capture the volatility patterns of developed stock markets located in the same region. The empirical … volatility clustering, interdependence, correlations, financial integration and leptokurtosis. Symmetric and asymmetric GARCH …

This paper investigates the volatility spillover dynamics between U.S. Bitcoin and financial markets from July 19, 2010 … to December 29, 2017. Diebold and Yilmaz (2012) volatility spillover index, Barunik, Kocenda, and Vacha (2017) Spillover … varying dynamics of volatility spillover among U.S. Bitcoin and financial markets. The findings of the study indicate the …

models and implied volatility indices to examine risk spillover under bad and good volatility changes. The results reveal …-stock volatility is greater than that from decreases in volatility, showing an apparent asymmetric phenomenon. Additionally, asymmetric … risk spillovers are caused by volatility in the oil market. In particular, the ability to predict systemic risk driven by …