Time connectedness of fear
Bibliographic Data
| ID | 21541936 |
|---|---|
| Authors | Julián Andrada-Félix, Julián Andrada Félix (0000-0001-8598-3234, Universidad de Las Palmas de Gran Canaria), Adrian Fernandez-Perez (0000-0002-9433-7194, Auckland University of Technology), Fernando Fernández-Rodríguez, Fernando Fernández Rodríguez (0000-0002-8808-9286, Universidad de Las Palmas de Gran Canaria), Simón Sosvilla-Rivero (0000-0003-2084-0640, Universidad Complutense de Madrid, corresponding author) |
| Year | 2022 |
| Volume | 62 |
| Issue | 3 |
| Pages | 905-931 |
| Publication date | 2022-03-01 |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | Empirical Economics (JOURNAL) |
| Journal identifiers | ISSN: 0377-7332 • E-ISSN: 1435-8921 |
| Publisher | Springer Science and Business Media LLC (PUBLISHER) |
| DOI | 10.1007/s00181-021-02056-w |
| OpenAlex | W2900322844 |
| Language | EN |
| References cited | 42 |
Econometrics · Economics · Implied volatility · Social connectedness · Variance decomposition of forecast errors · Financial Risk and Volatility Modeling · Market Dynamics and Volatility · Monetary Policy and Economic Impact
Time Series Analysis
Really Uncertain Business Cycles
Systemic Risk and Stability in Financial Networks
Generalized impulse response analysis in linear multivariate models
CoVaR
On the network topology of variance decompositions
Impulse response analysis in nonlinear multivariate models
Sticky Information versus Sticky Prices
Social Value of Public Information
Measuring Economic Policy Uncertainty
Real-Time Measurement of Business Conditions
How Relevant is Volatility Forecasting for Financial Risk Management
Stock Market Volatility and Macroeconomic Fundamentals
Better to give than to receive
| Highly cited | No |
|---|