This paper proposes a novel approach to assessing volatility contagion across equity markets. I decompose the variance … volatility contagion. This suggests that investors believe that equity returns will be more highly correlated across countries … approach to testing the existence of volatility contagion does not rely on short periods of financial distress, but allows for …

We identify a global risk factor in the cross-section of implied volatility returns in currency markets. A zero …-cost strategy that buys forward volatility agreements with downward sloping implied volatility curves and sells those with upward … slopes - volatility carry strategy - generates significant excess returns. The covariation with volatility carry returns …

I show that volatility risk of the dollar factor --- an equally weighted basket of developed U.S. dollar exchange rates … --- carries a significant risk premium and that it is priced in the cross-section of currency volatility excess returns. The … dollar factor volatility risk premium is negative on average with an upward sloping and concave term structure. Consistent …

This paper studies the intertemporal relation between U.S. volatility risk and international equity risk premia. We … show that a common volatility risk factor constructed from the option-implied U.S. forward variances positively and … robust to the inclusion of existing domestic and U.S. predictors and alternative U.S. volatility risk proxies. The …

We aim to detect the cross-border volatility linkages among gold futures in emerging markets, which still remain an … untapped area. China, India, Japan, Taiwan, Turkey, and U.S. futures markets are included in the sample. The volatility linkage … analyses confirm the existence of volatility transmission among the majority of the sample countries' gold futures. This …

We apply the directed acyclic graph and spillover index models and find significant evidence of both implied volatility … contagion and spillover. First, the global implied volatility smiles exhibit strong regional clustering. The European and … them, the European index options markets demonstrate the strongest implied volatility smile contagion. Second, there exists …

This paper examines the cross-dynamics of volatility term structures implied by foreign exchange options. The data used … common factors can explain a vast proportion of the variation in volatility term structures across currencies. Furthermore …, the results indicate that the euro is the dominant currency, as the implied volatility term structure of the euro is found …