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Fear connectedness among asset classes
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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
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ANDRADA-FÉLIX, Julián, FERNÁNDEZ-PÉREZ, Adrián, SOSVILLA RIVERO, Simón. Fear connectedness among asset classes. _IREA – Working Papers_. 2017. Vol. IR17/03. [consulta: 23 de gener de 2026]. ISSN: 2014-1254. [Disponible a: https://hdl.handle.net/2445/110550]