It is well known that the volatility spillover increases when a large economic shock occurs, and then the volatility spillover pattern in the market changes. Accordingly, many papers note that clarifying the time-varying pattern of volatility transmission in domestic and international markets is...

Current price jump tests assume a constant intra-day volatility pattern (IVP) over sample period. We test this assumption by allowing IVP to depend on the sign of returns from day t-1 or overnight returns. Estimation results from 5-minute GARCH for four equity indices show that...

I examine volatility spillover of good and bad uncertainty within the Chinese financial sector. Larger institutions are more central in the propagation of bad uncertainty. Bad uncertainty positively predicts future overall volatility