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Baruník, J., Kočenda, E., & Vácha, L. (2016). Asymmetric Connectedness on the U.S. Stock Market: Bad and Good Volatility Spillovers. Journal of Financial Markets, 27, 55-78.
https://doi.org/10.1016/j.finmar.2015.09.003

has been cited by the following article:

• TITLE: Time-Varying Volatility Connectedness of Asset Markets: Evidence from Century-Long Data

  AUTHORS: Ting Huang

  KEYWORDS: Asset Market Linkage, Connectedness, Volatility Spillover, Time-Varying Volatility

  JOURNAL NAME: American Journal of Industrial and Business Management, Vol.10 No.2, February 20, 2020

  ABSTRACT: We employ the framework of (Antonakakis & Gabauer, 2017) to study the nature of the volatility transmission among stocks, bonds, oil and gold over the past 100 years (1915-2015). The results indicate that asset market linkages and the role of volatility transmitter or receiver vary considerably over time. We observe a stronger net volatility transmitter of crude oil during the past 100 years and gold acts as a net volatility transmitter only before the 1970s. Moreover, stock is generally the most connected asset with receiving the majority of volatility shocks from all other assets while switches to a volatility transmitter since 2008. In addition, the findings show that the significant changes in the volatility spillovers among asset markets are closely related to the heightened uncertain economic and financial conditions in a long-term perspective.