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1% ============================================================================2% UQO Working Paper No. 63% Intraday Volatility Transmission Across Asset Classes:4% A Connectedness Analysis of Equities, Foreign Exchange, Commodities,5% and Cryptocurrencies6% Version 1.1 -- revised after the editorial-board review of 2026-10-177% ============================================================================8\documentclass[12pt,letterpaper]{article}910% --- Encoding & Language ---11\usepackage[utf8]{inputenc}12\usepackage[T1]{fontenc}13\usepackage[english]{babel}1415% --- Page Layout ---16\usepackage[17 letterpaper,18 top=1in, bottom=1in, left=1in, right=1in,19 headheight=15pt20]{geometry}21\usepackage{setspace}22\onehalfspacing2324% --- Typography ---25\usepackage{newtxtext,newtxmath}26\usepackage{microtype}2728% --- Math ---29\usepackage{amsmath}30\let\Bbbk\relax31\usepackage{amssymb,amsfonts}32\usepackage{mathtools}3334% --- Tables ---35\usepackage{booktabs}36\usepackage{tabularx}37\usepackage{multirow}38\usepackage{threeparttable}39\usepackage{array}40\usepackage{adjustbox}41\usepackage{longtable}42\usepackage{dcolumn}43\newcolumntype{d}[1]{D{.}{.}{#1}}4445% --- Figures ---46\usepackage{graphicx}47\usepackage{float}48\usepackage[49 font = small,50 labelfont = bf,51 labelsep = period,52 skip = 6pt,53 justification = justified,54 singlelinecheck = false55]{caption}56\usepackage{subcaption}5758% --- Lists ---59\usepackage{enumitem}60\setlist{nosep,leftmargin=*}6162% --- Colors & Links ---63\usepackage[dvipsnames,table]{xcolor}64\usepackage[bookmarks, bookmarksnumbered]{hyperref}65\hypersetup{66 colorlinks = true,67 linkcolor = NavyBlue,68 citecolor = NavyBlue,69 urlcolor = NavyBlue,70 pdfauthor = {Simon-Pierre Boucher},71 pdftitle = {Intraday Volatility Transmission Across Asset Classes: A Connectedness Analysis of Equities, Foreign Exchange, Commodities, and Cryptocurrencies},72 pdfsubject = {UQO Working Paper No. 6},73 pdfkeywords = {realized volatility, volatility spillovers, connectedness, high-frequency data, cryptocurrency}74}75\usepackage{cleveref}7677% --- Landscape & Rotation ---78\usepackage{pdflscape}79\usepackage{rotating}8081% --- Bibliography ---82\usepackage{natbib}83\setcitestyle{authoryear,round,semicolon}84\bibliographystyle{aer}8586% --- Headers & Footers ---87\usepackage{fancyhdr}88\pagestyle{fancy}89\fancyhf{}90\fancyhead[L]{\small\itshape Intraday Volatility Transmission}91\fancyhead[R]{\small\thepage}92\renewcommand{\headrulewidth}{0.4pt}93\renewcommand{\footrulewidth}{0pt}94\fancypagestyle{plain}{%95 \fancyhf{}96 \fancyfoot[C]{\small\thepage}97 \renewcommand{\headrulewidth}{0pt}98}99100% --- Section Formatting ---101\usepackage{titlesec}102\titleformat{\section}{\large\bfseries}{\thesection.}{0.5em}{}103\titleformat{\subsection}{\normalsize\bfseries}{\thesubsection.}{0.5em}{}104\titleformat{\subsubsection}{\normalsize\itshape}{\thesubsubsection.}{0.5em}{}105\titlespacing*{\section}{0pt}{18pt}{8pt}106\titlespacing*{\subsection}{0pt}{12pt}{4pt}107\titlespacing*{\subsubsection}{0pt}{10pt}{3pt}108109% --- Footnotes ---110\usepackage[bottom,hang]{footmisc}111\setlength{\footnotemargin}{0.5em}112113% --- Appendix ---114\usepackage{apptools}115\AtAppendix{%116 \renewcommand{\thetable}{A\arabic{table}}%117 \setcounter{table}{0}%118 \renewcommand{\thefigure}{A\arabic{figure}}%119 \setcounter{figure}{0}%120 \renewcommand{\theequation}{A.\arabic{equation}}%121 \setcounter{equation}{0}%122}123124% --- Graphics Path ---125\graphicspath{{figures/}}126127% --- Custom Commands ---128\newcommand{\RV}{\mathrm{RV}}129\newcommand{\GFEVD}{\mathrm{GFEVD}}130\newcommand{\TSI}{\mathrm{TSI}}131\newcommand{\ie}{\textit{i.e.}}132\newcommand{\eg}{\textit{e.g.}}133\newcommand{\etal}{\textit{et al.}}134135% --- Significance Stars ---136\newcommand{\sym}[1]{\ensuremath{^{#1}}}137\newcommand{\stmark}{\sym{***}}138\newcommand{\smark}{\sym{**}}139\newcommand{\tmark}{\sym{*}}140141% ============================================================================142% METADATA143% ============================================================================144\newcommand{\WPnumber}{6}145\newcommand{\WPtitle}{Intraday Volatility Transmission Across Asset Classes: A Connectedness Analysis of Equities, Foreign Exchange, Commodities, and Cryptocurrencies}146\newcommand{\WPsubtitle}{}147\newcommand{\WPdate}{October 2026}148\newcommand{\WPversion}{1.1}149\newcommand{\WPabstract}{%150This 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 is estimated on the 2{,}514 trading days common to all series (March 2016--March 2026) with the generalized variance decomposition of a VAR(4) at a ten-day horizon \citep{DieboldYilmaz2012}, with residual-bootstrap confidence intervals. Cross-asset shocks account for 54.8\% (90\% interval 53.1--56.9) of forecast-error variance. E-mini S\&P~500 and Nasdaq~100 futures are the only robust net transmitters ($+36.0$ and $+25.6$ percentage points), while the realized volatility of the VIX ($-20.6$), crude oil ($-14.2$) and sterling ($-13.2$) are net receivers; the net positions of bitcoin and ether are statistically indistinguishable from zero. Bitcoin and ether form a tightly linked pair (27--28\% of each other's variance) whose exposure to traditional assets rises from under 10\% of forecast-error variance before 2020 to 20--46\% in 2020--2025, with information flowing predominantly from U.S. equities to crypto: in the 2024--2026 spot-ETF period bitcoin is a significant net receiver ($-12.4$, interval $-20.4$ to $-2.1$). Rolling estimates show that total connectedness rose during the COVID-19 crash and reached its highest level in 2025. Intraday, after converting exchange time stamps to UTC, equity and VIX volatility concentrate in the U.S. cash session (53--63\% of daily variance), whereas bitcoin's hourly profile is nearly flat (peak-to-trough ratio 1.2); U.S.-session equity volatility predicts bitcoin's next Asian-session volatility, but neither bitcoin's overnight nor its weekend volatility predicts U.S. equity volatility. The paper documents how calendar alignment of 24/7 and exchange-traded series materially affects connectedness estimates.%151}152\newcommand{\WPkeywords}{realized volatility, volatility spillovers, connectedness, generalized variance decomposition, high-frequency data, cryptocurrency, trading sessions}153\newcommand{\WPjel}{C32, C58, G12, G15}154155% --- Author ---156\newcommand{\WPauthor}{Simon-Pierre Boucher}157\newcommand{\WPaffiliation}{%158 D\'epartement des sciences administratives\\159 Universit\'e du Qu\'ebec en Outaouais%160}161\newcommand{\WPemail}{simon-pierre.boucher@uqo.ca}162\newcommand{\WPaddress}{%163 Gatineau -- Pavillon Alexandre-Tach\'e\\164 283, boulevard Alexandre-Tach\'e\\165 Gatineau, Qu\'ebec, Canada J9A 1L8%166}167168% ============================================================================169% DOCUMENT170% ============================================================================171\begin{document}172173% --- Title Page ---174\input{sections/titlepage}175176% --- Table of Contents ---177\setcounter{page}{1}178\tableofcontents179\newpage180181% --- Main Body ---182\input{sections/introduction}183\input{sections/literature}184\input{sections/methodology}185\input{sections/data}186\input{sections/results}187\input{sections/discussion}188\input{sections/conclusion}189190% --- References ---191\newpage192\phantomsection193\addcontentsline{toc}{section}{References}194\bibliography{references}195196% --- Appendix ---197\newpage198\appendix199\input{appendix/appendix}200201\end{document}202