Time-frequency information transmission among financial markets: evidence from implied volatility

DOI10.1007/s10479-021-04266-yzbMath1539.91122MaRDI QIDQ6547073

Saqib Farid, Muhammad Abubakr Naeem, Fiza Qureshi, Mohamed Elheddad, Aviral Kumar Tiwari

Publication date: 30 May 2024

Published in: Annals of Operations Research (Search for Journal in Brave)

zbMATH Keywords

time-frequencyimplied volatilityhedging effectivenessrolling window wavelet correlation

Mathematics Subject Classification ID

Financial markets (91G15)

Cites Work

• Bond market and macroeconomic stability in East Asia: a nonlinear causality analysis
• On the network topology of variance decompositions: measuring the connectedness of financial firms
• Continuous Auctions and Insider Trading
• Forecasting S\&P 100 volatility: The incremental information content of implied volatilities and high-frequency index returns
• Unnamed Item

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