Volatility connectedness between global COVOL and major international volatility indices

被引：9
|
作者：
Xu, Danyang [1 ]
Hu, Yang [1 ]
Corbet, Shaen [1 ,2 ]
Goodell, John W. [3 ]
机构：
[1] Univ Waikato, Sch Account Finance & Econ, Hamilton, New Zealand
[2] Dublin City Univ, DCU Business Sch, Dublin, Ireland
[3] Univ Akron, Akron, OH 44325 USA
来源：
FINANCE RESEARCH LETTERS | 2023年 / 56卷
关键词：
COVOL; VIX; Volatility; Connectedness; TVP-VAR; IMPULSE-RESPONSE ANALYSIS; DYNAMIC CONNECTEDNESS; UNIT-ROOT; UNCERTAINTY;
D O I：
10.1016/j.frl.2023.104112
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This research explores dynamic connectedness amongst financial markets using the novel financial risk measure, global common volatility (COVOL) (Engle and Campos-Martins, 2023) and four major asset price implied volatility measures using a TVP-VAR framework. Considering several major international crises, results show that COVOL is a shock receiver while also identifying that VIX is a dominant risk driver of the pricing of risk transmission for the global financial system. The fluctuations of connectedness between COVOL and each implied volatility indices are highly dependent on periods of exceptional stress across international financial markets.
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收藏
页数：7
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