In this survey article, we present a rich extent of literature on volatility and its propagation on financial markets … via spillovers. We document how new approaches or improved existing methodologies lead to results that offer richer …

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 … that sizably change over time in different sectors. While negative spillovers are often of substantial magnitudes, they do …

Asymmetries in volatility spillovers are highly relevant to risk valuation and portfolio diversification strategies in … quantify asymmetries in volatility spillovers due to bad and good volatility. Two, using high frequency data covering most … volatility may spill over at different magnitudes. This paper fills this gap with two contributions. One, we suggest how to …

This paper examines mean and volatility spillovers between the Turkish stock market with international stock, exchange … examine cross — asset spillovers and how they vary across two periods of financial market crisis; the dotcom crash and the … periods of markets stress. Over the dotcom period spillovers are largely between the same asset class, notably two exchange …

This paper examines volatility spillovers from mature to emerging stock markets and tests for changes in the …. -- Volatility spillovers ; contagion ; stock markets ; emerging markets …