THE EFFECTS OF VOLATILITY SPILLOVER ON THE LARGEST GLOBAL FINANCIAL MARKET SEGMENTS

Irena Janković

DOI Number
https://doi.org/10.22190/FUEO1804319J
First page
319
Last page
329

Abstract


The aim of the paper is to present and analyse indicators of financial connectedness and volatility spillover on important segments of the global financial market – the stock market, bond market, CDS market, and foreign exchange market. Total, net, and directional measures of volatility spillover are presented and analysed, indicating the level of connectedness of countries’ particular market segments and the level of volatility spillover in periods of crisis and stability.


Keywords

financial connectedness, generalised VAR, volatility spillovers, global financial market segments

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References


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https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.2585

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DOI: https://doi.org/10.22190/FUEO1804319J

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