formulate and examine precise and separate measures of return spillovers and volatility spillovers. Our framework facilitates … evidence of divergent behavior in the dynamics of return spillovers vs. volatility spillovers: Return spillovers display a … gently increasing trend but no bursts, whereas volatility spillovers display no trend but clear bursts"--National Bureau of …

the United States to show how stock volatility has changed over time. It also uses various measures of volatility implied … 2008. This episode was associated with historically high levels of stock market volatility, particularly among financial … sector stocks, but the market did not expect volatility to remain high for long and it did not. This is in sharp contrast to …