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This study investigates the dynamic volatility spillovers and network connectedness between global futures markets, utilizing the DECO-FIGARCH model and Diebold-Yilmaz spillover index method. Findings reveal that volatility spillover is highest during financial crises, with the FTSE 100 index futures identified as the largest transmitter of shocks. The research emphasizes the importance of understanding market interconnectedness for effective portfolio management and risk assessment.

Author

n8ad5k49

Language

EN