Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/157525
Authors: 
Kočenda, Evžen
Year of Publication: 
2017
Series/Report no.: 
IOS Working Papers 363
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.
Subjects: 
volatility
volatility spillovers
financial markets
JEL: 
C10
E44
F31
G15
Document Type: 
Working Paper

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