0533568 20250310153308.420201026235959.9 85141848909 000883967300012 10.1162/rest_a_01003 13 s. P cav_un_epca*02517990034-65351046 (2022)1304-1316MIT Press Implied Volatility Asymmetric Connectedness U.S. Financial Sector cav_un_auth*0242028 Baruník Jozef UTIA-B Ekonometrie Department of Econometrics E E Department of Econometrics CZ Ústav teorie informace a automatizace AV ČR, v. v. i. cav_un_auth*0398135 Bevilacqua M. GB cav_un_auth*0398136 Tunaru R. GB http://library.utia.cas.cz/separaty/2020/E/barunik-0533568.pdf https://direct.mit.edu/rest/article-abstract/104/6/1304/97705/Asymmetric-Network-Connectedness-of-Fears?redirectedFrom=fulltext GX19-28231X GA ČR CZ cav_un_auth*0385135 This paper introduces forward-looking measures of the network connectedness of fears in the financial system, arising due to the good and bad beliefs of market participants about uncertainty that spreads unequally across a network of banks. We argue that this asymmetric network structure extracted from call and put traded option prices of the main U.S. banks contains valuable information for predicting macroeconomic conditions and economic uncertainty, and it can serve as a tool for forward-looking systemic risk monitoring. WOS AH 50000 50200 50202 2023 3 2 R hod 4 4rh 4 20250310151434.4 4 20250310153308.4 RVO:67985556 http://hdl.handle.net/11104/0311937 cav_un_auth*0309067 London School of Economics GB cav_un_auth*0298141 University of Sussex GB S 1* Article Economics|Social Sciences Mathematical Methods C ECONOMICS|SOCIALSCIENCES.MATHEMATICALMETHODS 8.7 3 16.4 0.02509 8.761 21678 8.371 8.000 90 Q1 96.5 Q1* Q1* 2.27 Q1 97.2 2022 Soubory v repozitáři: barunik-0533568.pdf 85141848909 SCOPUS PUBMED 000883967300012 WOS cav_un_epca*0251799 Review of Economics and Statistics 0034-6535 1530-9142 Roč. 104 č. 6 2022 1304 1316 MIT Press