  Connectedness measures the degree at which a time-series variable spills over
volatility to other variables compared to the rate that it is receiving. The
idea is based on the percentage of variance decomposition from one variable to
the others, which is estimated by making use of a VAR model. Diebold and Yilmaz
(2012, 2014) suggested estimating this simple and useful measure of percentage
risk spillover impact. Their method is symmetric by nature, however. The
current paper offers an alternative asymmetric approach for measuring the
volatility spillover direction, which is based on estimating the asymmetric
variance decompositions introduced by Hatemi-J (2011, 2014). This approach
accounts explicitly for the asymmetric property in the estimations, which
accords better with reality. An application is provided to capture the
potential asymmetric volatility spillover impacts between the three largest
financial markets in the world.
