Mostrar el registro sencillo del ítem
Spillover dynamics effects between risk-neutral equity and treasury volatilities
dc.creator | González Urteaga, Ana | es_ES |
dc.creator | Nieto, Belén | es_ES |
dc.creator | Rubio, Gonzalo | es_ES |
dc.date.accessioned | 2022-08-09T11:04:15Z | |
dc.date.available | 2022-08-09T11:04:15Z | |
dc.date.issued | 2022 | |
dc.identifier.citation | González-Urteaga, A.; Nieto, B.; Rubio, G.. (2022). Spillover dynamics effects between risk-neutral equity and treasury volatilities. SERIEs: Journal of the Spanish Economic Association. | en |
dc.identifier.issn | 1869-4187 | |
dc.identifier.uri | https://hdl.handle.net/2454/43709 | |
dc.description.abstract | Macro-finance asset pricing models provide a rationale for connectedness dynamics between equity and Treasury risk-neutral volatilities. In this paper, we study the total and directional connectedness, in the sense of spillover effects, between risk-neutral volatilities from the equity and Treasury markets. In addition, we analyze the economic and monetary drivers of connectedness dynamics. Most of the time, but especially during bad economic times, we find significant net spillovers from Treasury to equity risk-neutral volatility. The spillover channel between risk-neutral volatilities arises mainly through the government fixed income market. | en |
dc.description.sponsorship | This study was funded by the Ministerio de Ciencia, Innovación y Universidades (PGC2018-095072-B-I00), the Conselleria d'Educació, Investigació, Cultura I Esports (Prometeo/2017/158), the Secretaría de Estado de Investigación, Desarrollo e Innovación (PID2019-104304-GB-I00), and the Universidad Pública de Navarra (Grant for Young Researchers, 2018). | en |
dc.format.mimetype | application/pdf | en |
dc.language.iso | eng | en |
dc.publisher | Springer | en |
dc.relation.ispartof | Journal of the Spanish Economic Association, 2022 | en |
dc.rights | This article is licensed under a Creative Commons Attribution 4.0 International License | en |
dc.rights.uri | http://creativecommons.org/licenses/by/4.0/ | |
dc.subject | Risk-neutral equity volatility | en |
dc.subject | Risk-neutral treasury volatility | en |
dc.subject | Total connectedness | en |
dc.subject | Directional connectedness | en |
dc.subject | Real and monetary economic drivers | en |
dc.title | Spillover dynamics effects between risk-neutral equity and treasury volatilities | en |
dc.type | Artículo / Artikulua | es |
dc.type | info:eu-repo/semantics/article | en |
dc.date.updated | 2022-08-09T10:59:41Z | |
dc.contributor.department | Enpresen Kudeaketa | eu |
dc.contributor.department | Institute for Advanced Research in Business and Economics - INARBE | en |
dc.contributor.department | Gestión de Empresas | es_ES |
dc.rights.accessRights | Acceso abierto / Sarbide irekia | es |
dc.rights.accessRights | info:eu-repo/semantics/openAccess | en |
dc.identifier.doi | 10.1007/s13209-022-00264-w | |
dc.relation.projectID | info:eu-repo/grantAgreement/AEI/Plan Estatal de Investigación Científica y Técnica y de Innovación 2017-2020/PGC2018-095072-B-I00/ES/ | en |
dc.relation.projectID | info:eu-repo/grantAgreement/AEI/Plan Estatal de Investigación Científica y Técnica y de Innovación 2017-2020/PID2019-104304GB-I00/ES/ | en |
dc.relation.publisherversion | https://doi.org/10.1007/s13209-022-00264-w | |
dc.type.version | Versión publicada / Argitaratu den bertsioa | es |
dc.type.version | info:eu-repo/semantics/publishedVersion | en |
dc.contributor.funder | Universidad Pública de Navarra / Nafarroako Unibertsitate Publikoa | es |