This paper performs a thorough statistical examination of the time-series properties of the market volatility index (VIX) from the Chicago Board Options Exchange (CBOE). The motivation lies on the widespread consensus that the VIX is a barometer to the overall market sentiment as to what...

This paper proposes a framework to gauge the degree of volatility transmission among international stock markets by deriving tests for conditional independence among daily volatility measures. We suppose that asset prices follow a multivariate jump-diffusion process, and make no parametric...