credit default swap (CDS) spreads and spread volatility are examined over a recent period of financial instability from … effects on other national sovereign CDS markets but the volatility responses to domestic news and foreign news from the major … economies differ. CDS spread volatility increases in response to all domestic news and good news tends to exert relatively …

variable ordering, we propose measures of both total and directional volatility spillovers. We use our methods to characterize … daily volatility spillovers across U.S. stock, bond, foreign exchange and commodities markets, from January 1999 through … January 2010. We show that despite significant volatility fluctuations in all four markets during the sample, cross …