Identificador persistente para citar o vincular este elemento:
http://hdl.handle.net/10553/56350
Campo DC | Valor | idioma |
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dc.contributor.author | Andrada Félix, Julián | en_US |
dc.contributor.author | Fernández Pérez,Adrián | en_US |
dc.contributor.author | Fernández Rodríguez, Fernando | en_US |
dc.contributor.author | Sosvilla Rivero,Simón Javier | en_US |
dc.date.accessioned | 2019-08-13T08:47:51Z | - |
dc.date.available | 2019-08-13T08:47:51Z | - |
dc.date.issued | 2018 | en_US |
dc.identifier.other | Dialnet | |
dc.identifier.uri | http://hdl.handle.net/10553/56350 | - |
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). | en_US |
dc.language | eng | en_US |
dc.publisher | Institut de Recerca en Economia Aplicada Regional i Pública | - |
dc.relation | ECO | en_US |
dc.source | Documents de Treball ( IREA ), n. 18, p. 1-0 | en_US |
dc.subject | 531206 Finanzas y seguros | en_US |
dc.subject | 530904 Estructura del mercado | en_US |
dc.subject.other | Implied volatility indices | en_US |
dc.subject.other | Financial market Linkages | en_US |
dc.subject.other | Connectedness | en_US |
dc.subject.other | Vector Autoregression | en_US |
dc.subject.other | Variance Decomposition | en_US |
dc.title | Time connectedness of fear | en_US |
dc.type | info:eu-repo/semantics/workingpaper | en_US |
dc.type | WorkingPaper | es |
dc.identifier.url | http://dialnet.unirioja.es/servlet/articulo?codigo=6811414 | - |
dc.description.lastpage | 0 | - |
dc.identifier.issue | 18 | - |
dc.description.firstpage | 1 | - |
dc.investigacion | Ciencias Sociales y Jurídicas | en_US |
dc.type2 | Documento de trabajo | en_US |
dc.description.notas | JEL classification: C53, E44, F31, G15 | en_US |
dc.contributor.authordialnetid | 200558 | - |
dc.contributor.authordialnetid | 3260266 | - |
dc.contributor.authordialnetid | 203327 | - |
dc.contributor.authordialnetid | No ID | - |
dc.identifier.dialnet | 6811414ARTREV | - |
dc.identifier.ulpgc | Sí | es |
item.grantfulltext | open | - |
item.fulltext | Con texto completo | - |
crisitem.author.dept | GIR Finanzas Cuantitativas y Computacionales | - |
crisitem.author.dept | Departamento de Métodos Cuantitativos en Economía y Gestión | - |
crisitem.author.dept | GIR Finanzas Cuantitativas y Computacionales | - |
crisitem.author.orcid | 0000-0001-8598-3234 | - |
crisitem.author.orcid | 0000-0002-8808-9286 | - |
crisitem.author.parentorg | Departamento de Métodos Cuantitativos en Economía y Gestión | - |
crisitem.author.parentorg | Departamento de Métodos Cuantitativos en Economía y Gestión | - |
crisitem.author.fullName | Andrada Félix, Julián | - |
crisitem.author.fullName | Fernández Pérez,Adrián | - |
crisitem.author.fullName | Fernández Rodríguez,Fernando Emilio | - |
crisitem.author.fullName | Sosvilla Rivero,Simón Javier | - |
Colección: | Documento de trabajo |
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