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DC Field | Value | Language |
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dc.contributor.author | Andrada-Félix, Julián | - |
dc.contributor.author | Fernández-Pérez, Adrián | - |
dc.contributor.author | Sosvilla Rivero, Simón | - |
dc.date.accessioned | 2017-05-08T09:09:22Z | - |
dc.date.available | 2017-05-08T09:09:22Z | - |
dc.date.issued | 2017 | - |
dc.identifier.issn | 2014-1254 | - |
dc.identifier.uri | http://hdl.handle.net/2445/110550 | - |
dc.description.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 | - |
dc.format.extent | 42 p. | - |
dc.format.mimetype | application/pdf | - |
dc.language.iso | eng | - |
dc.publisher | Universitat de Barcelona. Institut de Recerca en Economia Aplicada Regional i Pública | - |
dc.relation.isformatof | Reproducció del document publicat a: http://www.ub.edu/irea/working_papers/2017/201703.pdf | - |
dc.relation.ispartof | IREA – Working Papers, 2017, IR17/03 | - |
dc.relation.ispartofseries | [WP E-IR17/03] | - |
dc.rights | cc-by-nc-nd, (c) Andrada-Félixa et al., 2017 | - |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/3.0/ | - |
dc.source | Documents de treball (Institut de Recerca en Economia Aplicada Regional i Pública (IREA)) | - |
dc.subject.classification | Mercat financer | - |
dc.subject.classification | Anàlisi de regressió | - |
dc.subject.classification | Anàlisi de variància | - |
dc.subject.classification | Estadística matemàtica | - |
dc.subject.other | Financial market | - |
dc.subject.other | Regression analysis | - |
dc.subject.other | Analysis of variance | - |
dc.subject.other | Mathematical statistics | - |
dc.title | Fear connectedness among asset classes | - |
dc.type | info:eu-repo/semantics/workingPaper | - |
dc.date.updated | 2017-05-08T09:09:22Z | - |
dc.rights.accessRights | info:eu-repo/semantics/openAccess | - |
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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