Survey of Volatility and Spillovers on Financial Markets

Evžen Kočenda

Prague Economic Papers, 2018, vol. 2018, issue 3, 293-305

Abstract: In this survey article, we present a rich extent of literature on volatility and its propagation on financial markets via spillovers. We document how new approaches or improved existing methodologies lead to results that offer richer insights than those derived from standard econometric techniques. Moreover, the implications of the results can be related to a wide set of markets as the surveyed articles cover emerging and developed European markets as well as the United States.

Keywords: volatility; volatility spillovers; financial markets (search for similar items in EconPapers)
JEL-codes: C10 E44 F31 G15 (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (1)

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Working Paper: Survey of volatility and spillovers on financial markets (2017)
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DOI: 10.18267/j.pep.650

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