Asymmetric volatility connectedness among main international stock markets: A high frequency analysis
This paper examines the direction and extent of the asymmetric volatility connectedness among international equity markets using 5-minute interval data from 16 stock markets. We analyze asymmetric volatility connectedness using realized volatility and identify the magnitude of the volatility spillov...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2021-09-01
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| Series: | Borsa Istanbul Review |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2214845020300879 |