We analyze volatility connectedness, frequency decomposition, and portfolio hedging among U.S. energy commodities from … energy commodity market deepens its volatility connectedness. We find that the war in Ukraine is characterized by the highest … systemic risk, followed by the COVID-19 pandemic. The results of directional volatility spillovers reveal that heating oil is …

its volatility connectedness. We find that the early stage of the Russia-Ukraine war and the Covid-19 pandemic are … volatility spillovers reveal that heating oil is the dominant asset as a volatility receiver and transmitter. In contrast …, natural gas volatility is strongly affected by its own historical volatility. Considering frequency decomposition, the long …

findings reveal over 20 statistically significant historical events that triggered abrupt and enduring increases in volatility … volatility connectedness include their negativity, unexpected nature, and the introduction of concerns about oil supply shortages. …

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

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 …

In this survey article, we present a rich extent of literature on volatility and its propagation on financial markets …

that divergence in monetary policy regimes affects forex volatility spillovers but that adding oil to a forex portfolio … shocks dominate forex volatility connectedness, positive shocks prevail when oil and forex markets are assessed jointly …