Volatility Spillover from the Fear Index to Developed and Emerging Markets
Author:
Affiliation:
1. Department of Finance, AUT Business School, Auckland University of Technology, Auckland, New Zealand
Publisher
Informa UK Limited
Subject
General Economics, Econometrics and Finance,Finance
Link
https://www.tandfonline.com/doi/pdf/10.1080/1540496X.2016.1220294
Reference26 articles.
1. Implied volatility term structure linkages between VDAX, VSMI and VSTOXX volatility indices
2. Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure?
3. Contemporaneous Spill-Over Among Equity, Gold, and Exchange Rate Implied Volatility Indices
4. Financial contagion and the real economy
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