Fifth Annual Conference of the Institute for East and Southeast European Studies
29 June – 1 July 2017, IOS Regensburg.
IOS Working Papers No. 363 ist erschienen
Evžen Kočenda, Survey of volatility and spillovers on financial markets, IOS Working Papers 363, Februar 2017.
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 meth-odologies 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.