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Extreme spillovers of VIX fear index to international equity markets · Study

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ArticleExtreme spillovers of VIX fear index to international equity markets

Massaporn Cheuathonghua2019

Article2019

Extreme spillovers of VIX fear index to international equity markets

Massaporn Cheuathonghua · Chaiyuth Padungsaksawasdi · Pattana Boonchoo · Jittima Tongurai

52 citations·0/0 files stored·Financial markets and portfolio management

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Market Dynamics and Volatility

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References

2016Measuring Economic Policy Uncertainty*2009The Impact of Uncertainty Shocks 1987Expected stock returns and volatility 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets 2015Measuring Uncertainty 2007The Impact of Uncertainty Shocks 1990Correlations in Price Changes and Volatility across International Stock Markets 2015The Asset-Pricing Implications of Government Economic Policy Uncertainty

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2024Quantile connectedness between VIX and global stock markets 2021Nexus between Southeast Asian stock markets, bitcoin and gold: spillover effect before and during the COVID-19 pandemic

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Year2019

Typearticle

Published2019-01-29

VenueFinancial markets and portfolio management

ISSN-L1555-4961

Languageen

Citations52

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1007/s11408-018-0323-6

openalex_workW2913460055

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