Search results for "Connectedness"
showing 6 items of 86 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…
An index of financial connectedness applied to variance risk premia
2014
The purpose is to construct an index of financial connectedness among France, Germany, UK, Switzerland and the Netherlands variance risk premia. The variance risk premium of each country stock market is measured by the difference between the (square) of implied volatility and expected realized variance of the stock market for next month. The total and directional indices of financial connectedness are obtained from the forecast error variance decomposition of a Vector Autoregressive Model, VAR, as recently suggested by Diebold and Yilmaz. While the authors main focus is on connectedness among financial returns, they base their analysis on a short memory stationary VAR. Given the long memory…
Financial connectedness among European volatility risk premia
2015
In this paper we use the Diebold Yilmaz (2009 and 2012) methodology to estimate the contribution and the vulnerability to systemic risk of volatility risk premia for five European stock markets: France, Germany, UK, Switzerland and the Netherlands. 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 ris…
Effects of ICT Connectedness, Permeability, Flexibility, and Negative Spillovers on Burnout and Job and Family Satisfaction
2011
This study investigates the effects of information and communication technologies (ICTs), permeability, flexibility, and spillovers of work into home and home into work on job burnout and job and family satisfaction. Results from a random sample of 612 office workers show that individuals who reported being satisfied with their jobs tended to feel that the Internet could help them accomplish work-related tasks, that traditional media could help them relax after work, and had a highly permeable boundary between their home domain and a highly flexible work environment. On the other hand, people who experienced low job satisfaction faced high work spillovers into home life and high burnout. Th…
ICT-Related Intangibles and Organizational Innovation: Indicators for Improving Connectedness and Flexibility
2012
In this paper we address the role of ICT-related intangible assets in organizational innovation. We focus on two important innovation enablers: first, connectedness, the ability of individuals to create and maintain connections to each other; and second, organizational flexibility to adapt to changing needs. For connectedness and flexibility, an agile ICT infrastructure and information management services are needed. Through a Delphi study, we identified several factors hindering organizational innovation, and formulated a set of indicators and related metrics for improvement. We conclude that it is necessary to consider ICT-related factors when organizations pursue improving their innovati…
Modeling the mediating role of adolescent connectedness in the relationship between family assets, school engagement and life satisfaction
2015
Connectedness is a promotive factor in the positive youth development of Roma adolescents by mediating the relationships between specific family assets (such as parental level of school education) and positive outcomes of well-being.