Asymmetric connectedness on the U.S. stock market: bad and good volatility spillovers

0452424 - NHU-C 2016 ES eng A2 - Proceedings Abstract
Baruník, J. - Kočenda, Evžen - Vácha, L.
Asymmetric connectedness on the U.S. stock market: bad and good volatility spillovers.
International Work-Conference on Time Series (ITISE 2014). Granada: COPICENTRO GRANADA S L, 2014. ISBN 978-84-15814-97-9.
[1st International Work-Conference on Time Series (ITISE 2014). 25.06.2014-27.06.2014, Granada]
R&D Projects: GA ČR GA14-24129S
Institutional support: PRVOUK-P23
Subject RIV: AH - Economics

There is an ample evidence that shocks to returns asymmetrically impact market volatility. Market volatility, especially in association with crisis development, may then spill quickly across different markets. This paper considers that volatility spillovers might propagate differently from market to market with respect to positive or negative shocks. We combine the recent advances to capture such asymmetric volatility spillovers. Specifically, we extend the computation of the Diebold Yilmaz spillover index by allowing for negative and positive changes in returns to be considered separately. As a result, by using negative realized semivariance (RS-)and positive realized semivariance (RS+) we devise a methodology which explains the transmission of downside and upside risk among markets.
Permanent Link: http://hdl.handle.net/11104/0253421