return and volatility spillover between the S&P 500 and 12 Asian stock markets using weekly data from January 2000 to … February 2020. DECO-GARCH models are employed to measure volatility transmission between markets. A generalized VAR, variance … the interdependence of the conditional returns, conditional volatility, and conditional correlations between the stock …

investigate volatility linkages between the European carbon emissions and energy markets. The results make it clear that there are … indeed volatility correlations and bidirectional spillover effects for the above two markets. In particular, the volatility … strongest volatility correlation between coal and carbon markets, the volatility spillover effect from the renewable energy …

The connectedness dynamics between large-, mid-, and small-cap stocks is investigated using the forecasted error … variance decomposition (FEVD) spillover framework of Diebold and Yilmaz in the time-frequency domain. Total volatility … spillover (i.e., connectedness) is elevated between large-, mid-, and small-cap stocks during the study period. This high level …