Dynamic network of implied volatility transmission among US equities, strategic commodities, and BRICS equities

Volume: 57, Pages: 1 - 12
Published: May 1, 2018
Abstract
null null We contribute to the growing literature on information flow among US equities, strategic commodities (oil and gold) and Brazil, Russia, India, China and South Africa equities. Unlike prior literature, however, we apply a graph theory approach that incorporates a dynamic conditional correlation model to disclose the dynamics of information integration and investigate the impact of political, war, macroeconomic and financial events on...
Paper Details
Title
Dynamic network of implied volatility transmission among US equities, strategic commodities, and BRICS equities
Published Date
May 1, 2018
Volume
57
Pages
1 - 12
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