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dc.contributor.authorAndrada-Félix, Julián-
dc.contributor.authorFernández-Pérez, Adrián-
dc.contributor.authorFernández Rodríguez, Fernando, 1954--
dc.contributor.authorSosvilla Rivero, Simón, 1961--
dc.description.abstractThis 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.extent42 p.-
dc.publisherUniversitat de Barcelona. Facultat d'Economia i Empresaca
dc.relation.isformatofReproducció del document publicat a:
dc.relation.ispartofIREA – Working Papers, 2018, IR18/18-
dc.relation.ispartofseries[WP E-IR18/18]ca
dc.rightscc-by-nc-nd, (c) Andrada-Félix et al., 2018-
dc.subject.classificationMercat financer-
dc.subject.classificationAnàlisi de regressió-
dc.subject.classificationAnàlisi de variància-
dc.subject.otherFinancial market-
dc.subject.otherRegression analysis-
dc.subject.otherAnalysis of variance-
dc.titleTime connectedness of fearca
Appears in Collections:Documents de treball (Institut de Recerca en Economia Aplicada Regional i Pública (IREA))

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