Arbeitspapier
Systemic Risk in Global Volatility Spillover Networks: Evidence from Option-implied Volatility Indices
With option-implied volatility indices, we provide a new tool for event studies in a network setting and document systemic risk in the spillover networks across global financial markets. Network linkages are sufficiently asymmetric because the US stock and bond markets play as dominant volatility suppliers to other countries and markets. Shocks from the US generate systemic risk through intensifying volatility spillovers across countries and asset classes. The findings offer new evidence that asymmetric network linkages can lead to sizable aggregate fluctuations and thus potential systemic risk.
- Sprache
-
Englisch
- Erschienen in
-
Series: IRTG 1792 Discussion Paper ; No. 2018-003
- Klassifikation
-
Wirtschaft
Mathematical and Quantitative Methods: General
- Thema
-
Network
Option-implied Volatility
Spillover
Asymmetric linkage
Systemic risk
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Yang, Zihui
Zhou, Yinggang
- Ereignis
-
Veröffentlichung
- (wer)
-
Humboldt-Universität zu Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series"
- (wo)
-
Berlin
- (wann)
-
2018
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Yang, Zihui
- Zhou, Yinggang
- Humboldt-Universität zu Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series"
Entstanden
- 2018
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