Future directions of volatility spillover and systematic review of measurement models: Evidences from bibliometric analysis

Abstract

The phenomenon by which the uncertainty of one market affects other markets can be known as "volatility spillover." This paper employs bibliometric analysis to clearly explain the publication trend, important authors, global collaborations, significant study areas, and most cited research works in the area of volatility spillover. The findings provide strong support for the need for a post-COVID-19 investigation into volatility spillover. Our systematic review elucidates VAR and Diebold Yilmaz, which are considered outstanding measures of spillover. It has many advantages when compared with other models. Furthermore, the study enables researchers to identify future research directions in volatility spillover.