response analysis. Second, we examine the announcements effects on market volatility in a more detailed fashion by … adequately analyze both conditional mean and volatility effects. …

that divergence in monetary policy regimes affects forex volatility spillovers but that adding oil to a forex portfolio … shocks dominate forex volatility connectedness, positive shocks prevail when oil and forex markets are assessed jointly …

This paper suggests how to quantify asymmetries in volatility spillovers that emerge due to bad and good volatility … stocks at the disaggregate level. Moreover, the spillovers of bad and good volatility are transmitted at different magnitudes …

autoregressive jump-intensity GARCH model; a model tested and proven by the empirical finance community. Results suggest that Bitcoin …

This paper estimates a bivariate HEAVY system including daily and intra-daily volatility equations and its macro …-augmented asymmetric power extension. It focuses on economic factors that exacerbate stock market volatility and represent major threats to … commodity markets on stock market realized volatility. Specifically, Economic Policy Uncertainty is shown to be one of the main …

-skewness, and co-volatility contagion tests. Our analysis is applied to the oil-exchange rate and oil-stock market relationships of … and turbulent oil price volatility episodes with a non-hierarchical k-means clustering algorithm on volatility measures …