Time-frequency information transmission among financial markets: evidence from implied volatility

被引：0
作者：
Muhammad Abubakr Naeem
Fiza Qureshi
Saqib Farid
Aviral Kumar Tiwari
Mohamed Elheddad
机构：
[1] University College Dublin,Smurfit Graduate School of Business
[2] University of Sindh,Institute of Business Administration
[3] University of Management & Technology,School of Business & Economics
[4] Rajagiri Valley Campus,Rajagiri Business School
[5] South Ural State University,Lecturer in International Business, Department of Management, Huddersfield Business School
[6] University of Huddersfield,undefined
来源：
Annals of Operations Research | 2024年 / 334卷
关键词：
Implied volatility; Time-frequency; Rolling window wavelet correlation; Hedging effectiveness;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
In this paper, we utilize the Chicago Board Option Exchange (CBOE) implied volatility indices to estimate the time-frequency information transmission among financial markets from 01.08.2008 to 31.10.2019. In doing so, we utilize the rolling window wavelet correlation (RWWC), Diebold & Yilmaz (The Economic Journal 119: 158–171, 2012), and Barunik & Krehlik (Journal of Financial Econometrics 16: 271–296, 2018). Our empirical findings suggest short-term and long-term dynamic connectedness between implied volatility indices of alternative assets. The long-term analysis findings suggest potential hedging and diversification opportunities that can be exploited by taking offsetting positions across volatility indices. The findings confirm heterogeneity between short-term and long-term connectedness results. Our findings also show superior out of sample hedging effectiveness of GVZ. The implications of the findings are further discussed in the paper.
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页码：701 / 729
页数：28
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