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http://hdl.handle.net/2445/125087
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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 | Fernández Rodríguez, Fernando, 1954- | - |
dc.contributor.author | Sosvilla Rivero, Simón | - |
dc.date.accessioned | 2018-10-05T10:00:57Z | - |
dc.date.available | 2018-10-05T10:00:57Z | - |
dc.date.issued | 2018 | - |
dc.identifier.uri | http://hdl.handle.net/2445/125087 | - |
dc.description.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) | ca |
dc.format.extent | 42 p. | - |
dc.format.mimetype | application/pdf | - |
dc.language.iso | eng | ca |
dc.publisher | Universitat de Barcelona. Facultat d'Economia i Empresa | ca |
dc.relation.isformatof | Reproducció del document publicat a: http://www.ub.edu/irea/working_papers/2018/201818.pdf | - |
dc.relation.ispartof | IREA – Working Papers, 2018, IR18/18 | - |
dc.relation.ispartofseries | [WP E-IR18/18] | ca |
dc.rights | cc-by-nc-nd, (c) Andrada-Félix et al., 2018 | - |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/3.0/es/ | * |
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.other | Financial market | - |
dc.subject.other | Regression analysis | - |
dc.subject.other | Analysis of variance | - |
dc.title | Time connectedness of fear | ca |
dc.type | info:eu-repo/semantics/workingPaper | ca |
dc.rights.accessRights | info:eu-repo/semantics/openAccess | ca |
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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IR18-018_Andrada+Fdez+Sosvilla.pdf | 2.4 MB | Adobe PDF | View/Open |
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