Search results for " connectedness"
showing 2 items of 62 documents
Volatility risk premia and financial connectedness
2014
In this paper we use the Diebold Yilmaz (2009 and 2012) methodology to construct an index of connectedness among five European stock markets: France, Germany, UK, Switzerland and the Netherlands, by using volatility risk premia. The volatility risk premium, which is a proxy of risk aversion, is measured by the difference between the implied volatility and expected realized volatility of the stock market for next month. While Diebold and Yilmaz focus is on the forecast error variance decomposition of stock returns or range based volatilities employing a stationary VAR in levels, we account for the (locally) long memory stationary properties of the levels of volatility risk premia series. The…
On continua whose hyperspace of subcontinua is σ-locally connected
1999
Abstract We provide a structural characterization of all continua X whose hyperspace C ( X ) of all subcontinua is the countable union of Peano continua. Applying this result we prove that there exists a uniformly path connected continuum X with no continuous mapping from C ( X ) onto X.