Politická ekonomie
Politická ekonomie
Prague Economic Papers
University of Economics, Prague

Prague Economic Papers Vol. 27 No. 3

Survey of Volatility and Spillovers on Financial Markets

DOI: https://doi.org/10.18267/j.pep.650

[full text (PDF)]

Evžen Kočenda

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: financial markets, volatility, volatility spillovers

JEL Classification: C10, E44, F31, G15

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