Prague Economic Papers 2018, 27(3):293-305 | DOI: 10.18267/j.pep.650

Survey of Volatility and Spillovers on Financial Markets

Evžen Kočenda
Institute of Economic Studies, Charles University, Prague
Instritute of Theory of Information and Automation, Czech Academy of Sciences, Prague
CES, Munich
IOS, Regensburg

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
JEL classification: C10, E44, F31, G15

Published: June 1, 2018  Show citation

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Kočenda, E. (2018). Survey of Volatility and Spillovers on Financial Markets. Prague Economic Papers, 27(3), 293-305. doi: 10.18267/j.pep.650
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