It has been established in the literature that volatility of stock returns exhibits complex properties of not only … volatility clustering, but also long memory, regime change, and substantial outliers during turbulent and calm periods. Hence …, this paper seeks to analyze volatility spillover, co-movements, independence and contagion in the Chinese, Japanese …

use a novel measure of contagion that examines whether volatility shocks in the U.S. stock market coupled with negative …

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 …

dominating in Asia, and regional spillovers in Latin America and the Middle East. -- volatility spillovers ; contagion ; stock …. Tri-variate VAR GARCH(1,1)-in-mean models are estimated for 41 emerging market economies (EMEs) in Asia, Europe, Latin …, volatility, and cross-market GARCH-in-mean effects. Hypotheses about the importance of different channels are tested. The results …

dominating in Asia, and regional spillovers in Latin America and the Middle East. -- Volatility spillovers ; contagion ; stock …. Tri-variate VAR GARCH(1,1)-in-mean models are estimated for 41 emerging market economies (EMEs) in Asia, Europe, Latin …, volatility, and cross-market GARCH-in-mean effects. Hypotheses about the importance of different channels are tested. The results …