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Volatility contagion: new evidence from market pricing of volatility risk. (2015). Raczko, Marek.
In: Bank of England working papers.
RePEc:boe:boeewp:0552.

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Cited: 4

Citations received by this document

Cites: 15

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Cross-stock market spillovers through variance risk premiums and equity flows. (2021). SHIM, ILHYOCK ; Sugihara, Yoshihiko ; Hattori, Masazumi.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:119:y:2021:i:c:s0261560621001315.

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  2. Cross-stock market spillovers through variance risk premiums and equity flows. (2018). SHIM, ILHYOCK ; Sugihara, Yoshihiko ; Hattori, Masazumi.
    In: CIS Discussion paper series.
    RePEc:hit:cisdps:667.

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  3. Cross-stock market spillovers through variance risk premiums and equity flows. (2018). SHIM, ILHYOCK ; Sugihara, Yoshihiko ; Hattori, Masazumi.
    In: BIS Working Papers.
    RePEc:bis:biswps:702.

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  4. Volatility Contagion across the Equity Markets of Developed and Emerging Market Economies. (2016). SHIM, ILHYOCK ; Sugihara, Yoshihiko ; Hattori, Masazumi.
    In: ADBI Working Papers.
    RePEc:ris:adbiwp:0590.

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References

References cited by this document

  1. Barro, R. J. (2006). Rare disasters and asset markets in the twentieth century. Quarterly Journal of Economics, 823866.

  2. Bekaert, G. and M. Hoerova (2014). The vix, the variance premium and stock market volatility. Journal of Econometrics 183(2), 181192.

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  4. Bollerslev, T. and V. Todorov (2011a). Estimation of jump tails. Econometrica 79(6), 17271783.
    Paper not yet in RePEc: Add citation now
  5. Bollerslev, T. and V. Todorov (2011b). Tails, fears, and risk premia. Journal of Finance 66(6), 21652211.
    Paper not yet in RePEc: Add citation now

  6. Bollerslev, T., G. Tauchen, and H. Zhou (2009). Expected stock returns and variance risk premia. Review of Financial Studies 22(11), 44634492.

  7. Bollerslev, T., R. F. Engle, and J. M. Wooldridge (1988). A capital asset pricing model with time-varying covariances. Journal of Political Economy, 116131.

  8. Bollerslev, T., V. Todorov, and S. Z. Li (2012). Jump tails, extreme dependencies, and the distribution of stock returns. Journal of Econometrics.
    Paper not yet in RePEc: Add citation now

  9. Carr, P. and L. Wu (2003). What type of process underlies options? a simple robust test. Journal of Finance 58(6), 25812610.

  10. Carr, P. and L. Wu (2009). Variance risk premiums. Review of Financial Studies 22(3), 13111341.

  11. Cipollini, A., I. L. Cascio, and S. Muzzioli (2013). Volatility co-movements: a time scale decomposition analysis. Technical report, Universita di Modena e Reggio Emilia, Facoltà di Economia" Marco Biagi".

  12. Corsetti, G., M. Pericoli, and M. Sbracia (2005). Some contagion, some interdependence: More pitfalls in tests of nancial contagion. Journal of International Money and Finance 24(8), 11771199.

  13. Demeter, K., E. Derman, M. Kamal, and J. Zou (1999). More than you ever wanted to know about volatility swaps. Goldman Sachs quantitative strategies research notes 41.
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  14. Diebold, F. X. and K. Yilmaz (2009). Measuring nancial asset return and volatility spillovers, with application to global equity markets. Economic Journal 119(534), 158171.

  15. Dungey, M. and D. Zhumabekova (2001). Testing for contagion using correlations: some words of caution. Pacic Basin Working Paper Series (2001-09).

Cocites

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  3. Climate Disaster Risks – Empirics and a Multi-Phase Dynamic Model. (2019). Semmler, Willi ; Mittnik, Stefan ; Haider, Alexander.
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  4. The Macroeconomic Impact of Microeconomic Shocks: Beyond Hultens Theorem. (2017). Farhi, Emmanuel ; Baqaee, David.
    In: 2017 Meeting Papers.
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  5. Options-Pricing Formula with Disaster Risk. (2016). Barro, Robert ; Liao, Gordon Y.
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  11. Learning about Rare Disasters: Implications For Consumption and Asset Prices. (2015). Pakos, Michal ; Kejak, Michal ; Gillman, Max.
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  12. The Price of Variance Risk. (2015). Rodriguez, Marius ; Giglio, Stefano ; Dew-Becker, Ian ; Le, Anh .
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