Prof. Evžen Kočenda, Ph.D.

Asymmetries in Volatility Spillovers

Evžen Kočenda (together with Jozef Baruník and Lukáš Vácha) has combined the existing measure of how volatility propagates across markets (or assets) with the idea of measuring qualitatively different volatility. This enables the quantification of asymmetries in volatility spillovers that are due to “good” or “bad” volatility. It has been shown that stocks from many US economic sectors exhibit visibly larger asymmetries in spillovers than the financial, IT and energy sectors. While negative asymmetries in spillovers are frequent, they do not, however, strictly dominate the US stock market. For petroleum commodities, negative volatility spillovers materialise to a greater degree than positive ones, and their occurrence correlates with low levels of crude oil inventories in the US and often with world events that hamper crude oil supply. On the forex market, negative spillovers are larger and are chiefly tied to the persisting sovereign debt crisis in Europe. On the other hand, positive spillovers are correlated with the subprime crisis, different monetary policies among key world central banks as well as developments on commodities markets.

During his stay at the CES, Evžen Kočenda will work on his ongoing agenda related to topics in money and finance. He will also deliver a series of CES lectures entitled: "Topics in Money and Finance".

Mr Kočenda’s current research focuses on the empirical aspects of international money and finance. He also combines the above topics with an analysis of corporate issues in Europe. He has published in the Journal of Economic Literature, Journal of Financial Markets, Journal of Corporate Finance, Journal of International Money and Finance and Journal of Banking and Finance, among others.

Evžen Kočenda is a Full Professor of Economics at the Institute of Economic Studies of the Charles University in Prague and Senior Researcher at the Institute of Information Theory and Automation of the Czech Academy of Sciences. He is a CESifo Research Network fellow and holds a PhD in Economics (1996) from the University of Houston in Texas.