transitory components of the conditional variance exhibit several well-known peaks in volatilities; (ii) the long-run volatility … relationships are stronger than the short-run linkages volatility with a reinforcement during the post-global financial crisis …-run volatility, except for in the period after the Global Financial Crisis, where the foreign-exchange markets are the main long …

volatility models reveal significant volatility transmission between most of the countries. On the other hand, the use of time …

This article investigates the exchange rate volatility spillover and dynamic conditional correlation between the euro … datasets, for the crisis and post-crisis periods, the study identifies significant uni-directional volatility spillovers from … the euro to the rand during crisis and post-crisis periods. Further, increased volatility spillovers and time …

negative, but, during the Covid-19 pandemic, the carry trade is the main net transmitter of volatility to all markets. Our …

This paper examines the price discovery and volatility spill-over relationship for Indian commodity markets. We cover … discovery results are encouraging given the nascent character of commodity markets in India. However the market does not seem to … be competitive. Volatility spill-over is confirmed for only three commodities and none of the indices. This implies the …

linkage between the equity markets, both in regards of returns and volatility, as well as in currency markets. While analyzing … the relationship between currency and stock markets we found unidirectional volatility spillovers from currency to stock …

uncertainty (EPU) index. The present work determines the association among policy uncertainty and volatility index, expressed in …. The results suggest that equity markets' volatility tends to be very high based on a high degree of policy uncertainty … that implied volatility index is a forward looking expectation of future stock market volatility, and it uncovers that …