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- W2923403721 abstract "We study the dynamic spillovers among the option-implied volatility indices of the S&P 500 and five large individual US stocks (Apple, Amazon, Google, Goldman Sachs and IBM) from June 1, 2010 to May 4, 2018. The results show that connectedness is relatively dominated by the volatility of the S&P 500, although the volatility of some US companies cannot be ignored. The findings also indicate that the pattern of connectedness varies over time. Further analyses highlight the role of short interest rates, P/E ratio, trading volume and market capitalization in driving the degree of integration among the volatility indices." @default.
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- W2923403721 date "2020-02-01" @default.
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- W2923403721 title "Dynamics and determinants of spillovers across the option-implied volatilities of US equities" @default.
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- W2923403721 doi "https://doi.org/10.1016/j.qref.2019.03.008" @default.
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