Volatility contagion: new evidence from market pricing of volatility risk
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Cited by:
- Hattori, Masazumi & Shim, Ilhyock & Sugihara, Yoshihiko, 2021.
"Cross-stock market spillovers through variance risk premiums and equity flows,"
Journal of International Money and Finance, Elsevier, vol. 119(C).
- Hattori, Masazumi & Shim, Ilhyock & Sugihara, Yoshihiko, 2018. "Cross-stock market spillovers through variance risk premiums and equity flows," CIS Discussion paper series 667, Center for Intergenerational Studies, Institute of Economic Research, Hitotsubashi University.
- Masazumi Hattori & Ilhyock Shim & Yoshihiko Sugihara, 2018. "Cross-stock market spillovers through variance risk premiums and equity flows," BIS Working Papers 702, Bank for International Settlements.
- Hattori, Masazumi & Shim, Ilhyock & Sugihara, Yoshihiko, 2016. "Volatility Contagion across the Equity Markets of Developed and Emerging Market Economies," ADBI Working Papers 590, Asian Development Bank Institute.
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More about this item
Keywords
Financial contagion; variance risk premium; tail-risk; equity co-movement; volatility co-movement;All these keywords.
JEL classification:
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
NEP fields
This paper has been announced in the following NEP Reports:- NEP-RMG-2015-10-17 (Risk Management)
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