Contagion and Interdependencies: A Dynamic Connectedness approach among Implied Volatilities
AbstractThis study employs the TVP-VAR approach to capture the degree of interdependencies and contagion among sixteen implied volatilities. The 16 daily implied volatility indices comprise the implied volatility from various financial assets, such as conventional equities, commodities, and currenci...
Main Authors: | , , , , |
---|---|
Format: | Article |
Language: | English |
Published: |
Taylor & Francis Group
2022-12-01
|
Series: | Cogent Economics & Finance |
Subjects: | |
Online Access: | https://www.tandfonline.com/doi/10.1080/23322039.2022.2148366 |