This paper examines the direction and extent of the asymmetric volatility connectedness among international equity markets using 5-minute interval data from 16 stock markets. We analyze asymmetric volatility connectedness using realized volatility and identify the magnitude of the volatility...

This paper examines the volatility spillovers and the time-frequency dependence between crude oil and stock sectors of US and China. We also rely on the effects of the COVID-19 pandemic on spillover effects and portfolio management. The results reveal evidence of strong positive co-movements...