Intraday Volatility Transmission Across Asset Classes: A Connectedness Analysis of Equities, Foreign Exchange, Commodities, and Cryptocurrencies
Analysis of ten instruments finds U.S. equity futures are net transmitters of volatility shocks while cryptocurrencies became net receivers in 2024-2026, with total connectedness peaking in 2025.
Featured in No. 136 on 23 Oct 2026 · 1 day after release
- Released
- 22 Oct 2026
- First featured
- No. 136 · 23 Oct 2026
- Published in
- Not yet, as far as Semantic Scholar knows
- Fanfare
- 2 of 5
- Identifier
- SSRN 7651038
- Authors
- Simon-Pierre Boucher
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).