Time connectedness of fear
Julián Andrada-Félix, Adrian Fernandez-Perez, Fernando Fernández-Rodríguez, Simón Sosvilla-Rivero
| Year of publication: |
2022
|
|---|---|
| Authors: | Andrada Félix, Julián ; Fernandez-Perez, Adrian ; Fernández Rodríguez, Fernando ; Sosvilla-Rivero, Simón |
| Published in: |
Empirical economics : a quarterly journal of the Institute for Advanced Studies. - Berlin : Springer, ISSN 1435-8921, ZDB-ID 1462176-9. - Vol. 62.2022, 3, p. 905-931
|
| Subject: | Implied volatility indices | Financial market linkages | Connectedness | Vector autoregression | Variance decomposition | Volatilität | Volatility | VAR-Modell | VAR model | Finanzmarkt | Financial market | Schätzung | Estimation | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00181-021-02056-w [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012819510