Contagion and Interdependencies: A Dynamic Connectedness approach among Implied Volatilities

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...

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Bibliographic Details
Main Authors: Gilbert K. Amoako, Ebenezer Boateng, Emmanuel Asafo-Adjei, Daniel Kofi Amoanyi, Anokye Mohammed Adam
Format: Article
Language:English
Published: Taylor & Francis Group 2022-12-01
Series:Cogent Economics & Finance
Subjects:
time-varying
economic events
net persistent receivers
heterogeneity
adaptability
Online Access:https://www.tandfonline.com/doi/10.1080/23322039.2022.2148366

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