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- W2056353514 abstract "Abstract This paper develops a new methodology for analyzing fear spillovers between four implied volatility indices ( MVX in C anada, VXJ in J apan, VDAX in G ermany and VIX in the U nited S tates) using a copula‐based bivariate M arkov‐switching model. We consider a parameterization of the M arkov‐switching model that allows for four possible states (consisting of combinations of either low or high expected volatilities). This model also combines selected copulas to describe the dependence pattern between different markets. The results show that dependencies, contagions and causalities between the four implied volatility index levels are strongly supported by the data in all copulas. From the dynamic and asymmetric analysis, the results indicate that the linkages between implied volatility indices are more pronounced when the indices rise." @default.
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- W2056353514 date "2014-08-01" @default.
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- W2056353514 title "Does Fear Spill Over?" @default.
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- W2056353514 doi "https://doi.org/10.1111/ajfs.12055" @default.
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