We identify networks of volatility spillovers and examine time-varying spillover intensities with daily implied volatilities of US Treasury bonds, global stock indexes, and commodities. The US stock market is the center of the international volatility spillover network and its volatility...

We examine hedging benefits of safe-haven currencies in terms of currency co-skewness with the global stock market (covariance between currency return and global equity volatility) derived from a Markov regime switching model. Of the major currencies, the US dollar, the Japanese yen and the...

We document asymmetric networks of implied volatility spillovers across global stock and commodity markets as well as the US Treasury market. There are significant asymmetries in the roles of US stock and bond markets as volatility suppliers to other countries and markets. Shocks from the US...