TY  - JOUR
AU  - Andrada-Félix, Julián
AU  - Fernandez-Perez, Adrian
AU  - Sosvilla Rivero, Simón Javier
PY  - 2018
DO  - 10.1080/00036846.2018.1441521
SN  - 1466-4283
UR  - https://hdl.handle.net/20.500.14352/12294
T2  - Applied Economics
AB  - This study investigates the interconnection between five implied volatility indices representative of different financial markets during the period 1 August 2008–29 December 2017. To this end, we first perform a static and dynamic analysis to measure...
LA  - eng
M2  - 4234
PB  - Taylor & Francis
KW  - Implied volatility indices
KW  - financial market linkages
KW  - connectedness
KW  - VAR
KW  - Variance decomposition.
TI  - Fear connectedness among asset classes
TY  - journal article
VL  - 50
ER  -