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Title: Time connectedness of fear
Author: Andrada-Félix, Julián
Fernández-Pérez, Adrián
Fernández Rodríguez, Fernando, 1954-
Sosvilla Rivero, Simón, 1961-
Keywords: Mercat financer
Anàlisi de regressió
Anàlisi de variància
Financial market
Regression analysis
Analysis of variance
Issue Date: 2018
Publisher: Universitat de Barcelona. Facultat d'Economia i Empresa
Series/Report no: [WP E-IR18/18]
Abstract: This paper examines the interconnection between four implied volatility indices representative of the investors' consensus view of expected stock market volatility at different maturities during the period January 3, 2011-May 4, 2018. To this end, we first perform a static analysis to measure the total volatility connectedness in the entire period using a framework proposed by Diebold and Yilmaz (2014). Second, we apply a dynamic analysis to evaluate both the net directional connectedness for each market using the TVP-VAR connectedness approach developed by Antonakakis and Gabauer (2017). Our results suggest that a 72.27%, of the total variance of the forecast errors is explained by shocks across the examined investor time horizons, indicating that the remainder 27.73% 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. Finally, we also document a superior performance of the TVP-VAR approach to connectedness respect to the original one proposed by Diebold and Yilmaz (2014)
Note: Reproducció del document publicat a:
It is part of: IREA – Working Papers, 2018, IR18/18
Appears in Collections:Documents de treball (Institut de Recerca en Economia Aplicada Regional i Pública (IREA))

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