2026-06-28T15:16:35Zhttps://docta.ucm.es/rest/oai/request

oai:docta.ucm.es:20.500.14352/122942025-06-05T14:12:18Zcom_20.500.14352_14col_20.500.14352_15

Fear connectedness among asset classes Andrada-Félix, Julián Fernández-Pérez, Adrian Sosvilla Rivero, Simón Javier 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 the total volatility connectedness in the entire period (the system-wide approach) using a framework recently proposed by Diebold and Yilmaz. Second, we make use of a dynamic analysis to evaluate both the net directional connectedness for each market and all net pairwise directional connectedness. Our results suggest that a 38.99%, of the total variance of the forecast errors is explained by shocks across markets, indicating that the remainder 61.01% 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 frequently switch between a net volatility transmitter and a net volatility receiver role in the five markets under study. 2023-06-17T12:29:54Z 2023-06-17T12:29:54Z 2023-06-17T12:29:54Z 2018 journal article https://hdl.handle.net/20.500.14352/12294 1466-4283 10.1080/00036846.2018.1441521 eng (ECO2016-76203-C2-2-P) (VRF2016-12) (PR71/15-20229) (PRX16/00261) open access Taylor & Francis