This paper examines the propagation of volatility and liquidity shocks across major sovereign bond markets during the … autoregressive model, which captures jointly the dynamics of liquidity and volatility in the government bond markets of Belgium … volatility dynamics in an analysis of spillovers beyond a traditional volatility spillover framework …

particularly acute in regard to volatility spillovers. Using the Diebold and Yilmaz (2009) methodology we analyze these metals over … a 20 year period, showing the evolution of volatility spillovers and identifying the source of same …

This paper employs a bivariate BEKK-GARCH(1,1) model to examine shock and volatility spillovers between crude oil and … equity sector returns. In the market level, there are unilateral spillovers of shock and volatility from oil price to stock … market return. The findings in this paper are crucial for financial market participation to understand shock and volatility …

This paper examines volatility interdependencies between value and momentum returns. Using U.S. data over the period … 1926-2015, we document persistent periods of low and high volatility spillovers between value and momentum strategies …. Moreover, we find that the intensity of the volatility spillovers may change substantially in very short periods of time and …

This paper examines mean and volatility spillovers between the Turkish stock market with international stock, exchange …