This paper conducts an investigation of volatility transmission between stock markets in
Hong Kong, Europe and the United States covering the time period from 2000 up to 2011 …

In this study, we examine the asymmetric short-and long-run spillover among commodities
using realized variances and realized semivariances calculated through 5-min trading data …

This paper investigates the interdependence between the Vietnamese stock market and
other influential equity markets in terms of return linkage and volatility transmission covering …

Motivated by a common belief that the international stock market volatilities are synonymous
with information flow, this paper proposes a parsimonious way to combine multiple market …

By using our newly defined measure, we detect and quantify asymmetries in the volatility
spillovers of petroleum commodities: crude oil, gasoline, and heating oil. The increase in …

Recently retail and institutional investors have begun to include Bitcoin in their portfolios,
creating a transmission channel for Bitcoin volatility and therefore increasing regulatory …

Abstract Rapach et al.(2013) recently showed that US equity market returns contain valuable
information for improving return forecasts in global equity markets. In this study, we extend …

We investigate stock market uncertainty spillovers to commodity markets using wavelet
coherence and a general stock market-related Google Search Trends (GST)-based index to …

Purpose This work investigates the volatility spillovers across stock markets and the nature
of such spillovers through different periods of crises and tranquility. Design/methodology …

Using a novel four-phase model based upon a conditional autoregressive Wishart
framework for realized variances and covariances we quantify intra-daily volatility spillovers …