volatility spillovers during global financial crisis and tranquil periods. The resulting market interconnectedness is depicted by … between markets and somewhat weaker temporal effects with regard to the US equity market - volatility spillovers decrease when … markets are characterized by greater temporal proximity. Volatility spillovers also present a high degree of …

time of the COVID-19 pandemic. We provide evidence in favour of energy contagion, in term of significantly higher …

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 …

Russia. The adopted framework allows to analyse interdependence by estimating volatility spillovers, and also contagion by …) ; volatility spillovers ; interdependence ; contagion ; VAR-GARCH-in-mean model … testing for possible shifts in the transmission of volatility following the introduction of the euro and EU accession. Further …

contagion tests for recipient markets vulnerable to disturbances from this source market. The S&P 500 is decomposed into … discrete conditions of: (1) Tranquil versus turbulent volatility; (2) Bull versus bear market phases; (3) Normal periods versus …

This paper examines mean and volatility spillovers between three major cryptocurrencies (Bitcoin, Litecoin and Ethereum … and volatilities (contagion). More precisely, cyber attacks appear to strengthen cross-market linkages, thereby reducing …

volatility índices (namely the originally created RTSVX and the new RVI that has replaced it), using daily data over the period …

post-September 2008 period. There are also volatility spillovers from stock market returns to equity fund flows both before …

A new procedure to trace the sources of contagion in the oil-finance nexus is proposed. We do this by consolidating … extreme subsamples for comparing market relationships in the construction of contagion tests. Our original approach is useful …