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

Muhammad Abubakr Naeem, Fiza Qureshi, Saqib Farid, Aviral Kumar Tiwari, Mohamed Elheddad

Research output: Contribution to journalArticlepeer-review

9 Citations (Scopus)

Abstract

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.

Original languageEnglish
Pages (from-to)701-729
Number of pages29
JournalAnnals of Operations Research
Volume334
Issue number1-3
Early online date14 Sep 2021
DOIs
Publication statusPublished - 1 Mar 2024

Fingerprint

Dive into the research topics of 'Time-frequency information transmission among financial markets: evidence from implied volatility'. Together they form a unique fingerprint.

Cite this