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http://hdl.handle.net/2445/125087
Title: | Time connectedness of fear |
Author: | Andrada-Félix, Julián Fernández-Pérez, Adrián Fernández Rodríguez, Fernando, 1954- Sosvilla Rivero, Simón |
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: http://www.ub.edu/irea/working_papers/2018/201818.pdf |
It is part of: | IREA – Working Papers, 2018, IR18/18 |
URI: | http://hdl.handle.net/2445/125087 |
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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