WP06
Intraday Volatility Transmission Across Asset Classes: A Connectedness Analysis of Equities, Foreign Exchange, Commodities, and Cryptocurrencies
This paper measures how realized volatility is transmitted across equity index futures, major exchange rates, gold and crude oil futures, the VIX, and the two largest cryptocurrencies. Daily realized volatilities are built from 5-minute bars for ten instruments over 2008–2026, and the connectedness of their logarithms…