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Local and spillover shocks in implied market volatility: evidence for the U.S. and Germany · Study

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ArticleLocal and spillover shocks in implied market volatility: evidence for the U.S. and Germany

Niklas Wagner2004

OA

Articlegreen2004

Local and spillover shocks in implied market volatility: evidence for the U.S. and Germany

Niklas Wagner · Alexander Szimayer

62 citations·0/0 files stored·Research in International Business and Finance

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

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References

1976Option pricing when underlying stock returns are discontinuous 1994Automatic Lag Selection in Covariance Matrix Estimation 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions 1990Correlations in Price Changes and Volatility across International Stock Markets 2003The Impact of Jumps in Volatility and Returns 2000Post-'87 crash fears in the S&P 500 futures option market 2000The Investor Fear Gauge 1993The Informational Content of Implied Volatility

Cited by

2017Oil and energy sector stock markets: An analysis of implied volatility indexes 2021The US equity sectors, implied volatilities, and COVID-19: What does the spillover analysis reveal?2016Examining volatility spillover between Asian countries’ stock markets 2020Risk aversion connectedness in developed and emerging equity markets before and after the COVID-19 pandemic 2018STOCK RETURNS, VOLATILITY AND MEAN REVERSION IN EMERGING AND DEVELOPED FINANCIAL MARKETS

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Year2004

Typearticle

Published2004-09-01

VenueResearch in International Business and Finance

ISSN-L0275-5319

Languageen

Citations62

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.ribaf.2004.04.008

openalex_workW3125658298

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2018

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2017Islamic and conventional equity index co-movement and volatility transmission: Evidence from Pakistan

2017Point process models for extreme returns: Harnessing implied volatility