TY - JOUR
T1 - Time-frequency information transmission among financial markets
T2 - evidence from implied volatility
AU - Naeem, Muhammad Abubakr
AU - Qureshi, Fiza
AU - Farid, Saqib
AU - Tiwari, Aviral Kumar
AU - Elheddad, Mohamed
N1 - Funding Information:
Muhammad Abubakr Naeem gratefully acknowledges the support of Science Foundation Ireland under grant number 16/SPP/3347.
Publisher Copyright:
© 2021, The Author(s), under exclusive licence to Springer Science+Business Media, LLC, part of Springer Nature.
Copyright:
Copyright 2021 Elsevier B.V., All rights reserved.
PY - 2021/9/14
Y1 - 2021/9/14
N2 - 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.
AB - 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.
KW - Hedging effectiveness
KW - Implied volatility
KW - Rolling window wavelet correlation
KW - Time-frequency
UR - http://www.scopus.com/inward/record.url?scp=85114852986&partnerID=8YFLogxK
U2 - 10.1007/s10479-021-04266-y
DO - 10.1007/s10479-021-04266-y
M3 - Article
AN - SCOPUS:85114852986
JO - Annals of Operations Research
JF - Annals of Operations Research
SN - 0254-5330
ER -
