Please use this identifier to cite or link to this item: http://hdl.handle.net/2445/110550
Title: Fear connectedness among asset classes
Author: Andrada-Félixa, Julián
Fernández-Perez, Adrián
Sosvilla Rivero, Simón, 1961-
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
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, IR17/003
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))

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