Cross-market spillovers with ‘volatility surprise’
作者： Sofiane Aboura , Julien Chevallier
DOI: 10.1016/J.RFE.2014.08.002
关键词: Volatility swap 、 Surprise 、 Volatility smile 、 Financial market 、 Financial economics 、 Volatility (finance) 、 Economics 、 Econometrics 、 Exchange rate 、 Implied volatility 、 Spillover effect
摘要: This article adopts the asymmetric DCC with one exogenous variable (ADCCX) model developed by Vargas (2008), updating concept of ‘volatility surprise’ to capture cross-market relationships. Current methods for measuring spillovers do not focus on volatility interactions, and neglect cross-effects between conditional variances. paper aims fill this gap. The dataset includes four aggregate indices representing equities, bonds, foreign exchange rates commodities from 1983 2013. results provide strong evidence spillover effects coming component across markets. Against background recent financial crisis, aim is contribute literature interdependencies markets, both in means (co)variances. In addition, asset management implications are derived.
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