We construct a network volatility index (NetVIX) via market interconnectedness and volatilities to measure global market turbulence. The NetVIX multiplicatively decomposes into an average volatility and a network amplifier index. It also additively decomposes into marginal volatility indices for...

Modern time series analysis is facing the increasing availability of multidimensional data generated over time. In finance, co-movements can be observed, for instance, across different indicators (e.g.\ returns, volatility and sentiment) belonging to the same asset, as well as among indicators...