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Volatility contagion across commodity, equity, foreign exchange and Treasury bond markets
15 references·0 citing·53 second hopsampled
Volatility contagion across commodity, equity, foreign exchange and Treasury bond markets (2014)Volatility contagion across commodity, eq…On financial contagion and implied market volatility (2014)On financial contagion and im…How does oil market uncertainty interact with other markets? An empirical analysis of implied volatility index (2013)How does oil market uncertain…Contemporaneous Spill‐Over Among Equity, Gold, and Exchange Rate Implied Volatility Indices (2013)Contemporaneous Spill‐Over Am…Volatility spillovers and the effect of news announcements (2012)Volatility spillovers and the…An investor sentiment barometer — Greek Implied Volatility Index (GRIV) (2012)An investor sentiment baromet…Hedge Fund Contagion and Liquidity Shocks (2010)Hedge Fund Contagion and Liqu…Resolving Macroeconomic Uncertainty in Stock and Bond Markets (2008)Resolving Macroeconomic Uncer…Can the evolution of implied volatility be forecasted? Evidence from European and US implied volatility indices (2008)Can the evolution of implied …Implied volatility term structure linkages between VDAX, VSMI and VSTOXX volatility indices (2007)Implied volatility term struc…The effect of macroeconomic news on beliefs and preferences: Evidence from the options market (2006)The effect of macroeconomic n…Market Integration and Contagion (2005)Market Integration and Contag…International transmission of uncertainty implicit in stock index option prices (2004)International transmission of…International equity market comovements: Economic fundamentals or contagion? (2003)International equity market c…Economic News and Bond Prices: Evidence from the U.S. Treasury Market (2001)Economic News and Bond Prices…The Creation and Resolution of Market Uncertainty: The Impact of Information Releases on Implied Volatility (1996)The Creation and Resolution o…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Dynamic Conditional Correlation (2002)Do global risk factors and macroeconomic conditions affect global Islamic index dynamics? 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(1989)How do OPEC news and structural breaks impact returns and volatility in crude oil markets? Further evidence from a long memory process (2013)Does the US-China trade war affect co-movements between US and Chinese stock markets? (2021)Two decades of contagion effect on stock markets: Which events are more contagious? (2021)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Contagion: Why Crises Spread and How This Can Be Stopped (2001)Does International Financial Contagion Really Exist? (2003)On the Volatility and Comovement of U.S. Financial Markets around Macroeconomic News Announcements (2009)The pricing of commodity contracts (1976)New Indexes of Coincident and Leading Economic Indicators (1989)Option-Implied Risk-Neutral Distributions and Risk Aversion (2004)Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models (2010)Improving the predictability of real economic activity and asset returns with forward variances inferred from option portfolios (2011)
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References

  • 2005Market Integration and Contagion1,061 cited
  • 2001Economic News and Bond Prices: Evidence from the U.S. Treasury Market896 cited
  • 2010Hedge Fund Contagion and Liquidity Shocks471 cited
  • 1996The Creation and Resolution of Market Uncertainty: The Impact of Information Releases on Implied Volatility268 cited
  • 2013How does oil market uncertainty interact with other markets? An empirical analysis of implied volatility index220 cited
  • 2003International equity market comovements: Economic fundamentals or contagion?201 cited
  • 2008Can the evolution of implied volatility be forecasted? Evidence from European and US implied volatility indices174 cited
  • 2006The effect of macroeconomic news on beliefs and preferences: Evidence from the options market138 cited
  • 2014On financial contagion and implied market volatility123 cited
  • 2012Volatility spillovers and the effect of news announcements97 cited
  • 2008Resolving Macroeconomic Uncertainty in Stock and Bond Markets87 cited
  • 2007Implied volatility term structure linkages between VDAX, VSMI and VSTOXX volatility indices65 cited
  • 2013Contemporaneous Spill‐Over Among Equity, Gold, and Exchange Rate Implied Volatility Indices58 cited
  • 2004International transmission of uncertainty implicit in stock index option prices50 cited

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  • 2012An investor sentiment barometer — Greek Implied Volatility Index (GRIV)41 cited
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