This research explores dynamic connectedness amongst financial markets using the novel
financial risk measure, global common volatility (COVOL)(Engle and Campos-Martins, 2023) …

This paper analyzes the volatility linkage across the US, European, German, Japanese, and
Swiss equity markets from 1999 to 2009. Both the unconditional and conditional correlations …

We statically and dynamically measure total and directional volatility connectedness in
global foreign exchange (forex) markets. We use the volatility spillover index and LASSO …

In this article, we examine the information linkages of the forward-looking measure of
volatility, the volatility index (VIX), for underlying equity market indices of BRICS countries …

This paper examines the dynamic connectedness among the implied volatilities of oil prices
(OVX) and fourteen other assets, which can be grouped into five different assets classes (ie …

We provide a systematic framework for studying high-frequency risk connectedness among
world stock markets. Our framework, based on high-frequency realized volatility …

We investigate the dynamic volatility connectedness of regional stocks, gold, Bitcoin, oil, and
uncertainty index related to infectious diseases for the period from January 2014 to June …

This article examines cross-market volatility linkages among the fear index (VIX), the
developed-market index (VXEFA), and the emerging-market index (VXEEM). Analysis on the …

This study investigates the impact of the Russo–Ukrainian war-induced uncertainty on
multidimensional connectedness measures across the volatility of global stock and …

This paper investigates various aspects of asymmetric connectedness among the stock
markets in China, Japan, and Korea. Based on the realized semi-volatility indices, we find …