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- W2278219565 abstract "This article investigates the investor fear gauge linkages among the American and emerging markets, such as, India (India volatility index (IVIX)), South Korea (Volatility Korea Composite Stock Price Index (VKSOPI)), South Africa (South African Volatility Index (SAVI)) and Russian (Russian Volatility Index (RTSVX)). This article further captures the diffusion and jump relationships between the volatility indices (VIXs) in US and emerging markets by applying the correlated bivariate Poisson (CBP) jump model. The empirical result found that the change in the VIX in the US has a substantial impact over the change in the VIXs of emerging markets. The changes in the VIXs exhibit individual jump behaviour. Finally, this article found the time-varying joint jump intensity between the VIXs in US and emerging markets. JEL Classification: C32, C5" @default.
- W2278219565 created "2016-06-24" @default.
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- W2278219565 date "2015-12-01" @default.
- W2278219565 modified "2023-09-27" @default.
- W2278219565 title "Does the US Fear Gauge Impact on the Investor Fear Gauge in the Emerging Markets?" @default.
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- W2278219565 doi "https://doi.org/10.1177/0972652715601909" @default.
- W2278219565 hasPublicationYear "2015" @default.
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