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Title: | Fear connectedness among asset classes |
Author: | Andrada-Félix, Julián Fernández-Pérez, Adrián Sosvilla Rivero, Simón |
Keywords: | Mercat financer Anàlisi de regressió Anàlisi de variància Estadística matemàtica Financial market Regression analysis Analysis of variance Mathematical statistics |
Issue Date: | 2017 |
Publisher: | Universitat de Barcelona. Institut de Recerca en Economia Aplicada Regional i Pública |
Series/Report no: | [WP E-IR17/03] |
Abstract: | This study investigates the interconnection between five implied volatility indices representative of different financial markets during the period August 1, 2008-September 9, 2015. To this end, we first perform a static and dynamic analysis to measure the total volatility connectedness in the entire period (the system-wide approach) using a framework recently proposed by Diebold and Yılmaz (2014). Second, we make use of a dynamic analysis to evaluate both the net directional connectedness for each market and all net pair-wise directional connectedness. Our results suggest that slightly more than only 38.23%, of the total variance of the forecast errors is explained by shocks across markets, indicating that the remainder 61.77% of the variation is due to idiosyncratic shocks. Furthermore, we find that volatility connectedness varies over time, with a surge during periods of increasing economic and financial instability |
Note: | Reproducció del document publicat a: http://www.ub.edu/irea/working_papers/2017/201703.pdf |
It is part of: | IREA – Working Papers, 2017, IR17/03 |
URI: | http://hdl.handle.net/2445/110550 |
ISSN: | 2014-1254 |
Appears in Collections: | Documents de treball (Institut de Recerca en Economia Aplicada Regional i Pública (IREA)) |
Files in This Item:
File | Description | Size | Format | |
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IR17-003-AndradaFelixa_FearConnectedness.pdf | 1.53 MB | Adobe PDF | View/Open |
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