Using the volatility spillover index method based on the quantile vector autoregression (QVAR) model, this paper … traditional volatility spillover index method, which focuses mainly on average spillover effects, the QVAR model-based spillover … systematically examines structural changes and corresponding spillover effects within 20 major stock markets under both extreme and …

Financial market volatility is an important element when setting up port- folio management strategies, option pricing … and market regulation. The Subprime crisis affected all markets around the world. Daily data of twelve stock indexes for … bigger impact on stock market volatility, namely at sensitivity, persistence and asymmetric effects. …