This paper studies the nature of volatility spillovers across countries from the per-spective of network theory and by … relying on data of US-listed ETFs. I use a Lasso-related technique to estimate the International Volatility Network (IVN …) where the nodes correspond to large-cap international stock markets while the links account for significant volatility lead …

This paper studies the nature of volatility spillovers across countries from the perspective of network theory and by … relying on data of US-listed ETFs. I use a Lasso-related technique to estimate the International Volatility Network (IVN …) where the nodes correspond to large-cap international stock markets while the links account for significant volatility lead …

crises, liquidity variables have a negative influence on the volatility, in contrast to the time period after the outbrake of …

We construct a network volatility index (NetVIX) via market interconnectedness and volatilities to measure global … market turbulence. The NetVIX multiplicatively decomposes into an average volatility and a network amplifier index. It also … additively decomposes into marginal volatility indices for measuring individual contribution to global turmoil. We apply our …

which is applied to the identification of volatility shocks via natural timing assumptions. The global shock has homogeneous …

This study investigated the directional linkages among net foreign portfolio investment volatility, financial deepening … volatility to financial deepening in low income SADC markets. Furthermore, the results indicate a bidirectional causal … portfolio investment volatility and financial deepening in these economies. Conversely, the pairwise test distinctively …

Measuring and modeling financial volatility is the key to derivative pricing, asset allocation and risk management … the daily or lower frequency volatility can be obtained by summing over squared high-frequency returns.In turn, this so …-called realized volatility can be used for more accurate model evaluation and description of the dynamic and distributional structure …

This paper presents a methodology to examine the multivariate tail dependence of the implied volatility of equity …-movements of large changes in equity volatility were more likely to occur and responses to extreme shocks became more … tail risk at high data frequency are essential to the robust measurement of systemic risk, which could enhance market …