| bibtype |
J -
Journal Article
|
| ARLID |
0533568 |
| utime |
20240103224611.9 |
| mtime |
20201026235959.9 |
| SCOPUS |
85141848909 |
| WOS |
000883967300012 |
| DOI |
10.1162/rest_a_01003 |
| title
(primary) (eng) |
Asymmetric Network Connectedness of Fears |
| specification |
| page_count |
13 s. |
| media_type |
P |
|
| serial |
| ARLID |
cav_un_epca*0251799 |
| ISSN |
0034-6535 |
| title
|
Review of Economics and Statistics |
| volume_id |
104 |
| volume |
6 (2022) |
| page_num |
1304-1316 |
| publisher |
|
|
| keyword |
Implied Volatility |
| keyword |
Asymmetric Connectedness |
| keyword |
U.S. Financial Sector |
| author
(primary) |
| ARLID |
cav_un_auth*0242028 |
| name1 |
Baruník |
| name2 |
Jozef |
| institution |
UTIA-B |
| full_dept (cz) |
Ekonometrie |
| full_dept (eng) |
Department of Econometrics |
| department (cz) |
E |
| department (eng) |
E |
| full_dept |
Department of Econometrics |
| country |
CZ |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| author
|
| ARLID |
cav_un_auth*0398135 |
| name1 |
Bevilacqua |
| name2 |
M. |
| country |
GB |
|
| author
|
| ARLID |
cav_un_auth*0398136 |
| name1 |
Tunaru |
| name2 |
R. |
| country |
GB |
|
| source |
|
| source |
|
| cas_special |
| project |
| project_id |
GX19-28231X |
| agency |
GA ČR |
| country |
CZ |
| ARLID |
cav_un_auth*0385135 |
|
| abstract
(eng) |
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. |
| result_subspec |
WOS |
| RIV |
AH |
| FORD0 |
50000 |
| FORD1 |
50200 |
| FORD2 |
50202 |
| reportyear |
2023 |
| num_of_auth |
3 |
| inst_support |
RVO:67985556 |
| permalink |
http://hdl.handle.net/11104/0311937 |
| cooperation |
| ARLID |
cav_un_auth*0309067 |
| name |
London School of Economics |
| country |
GB |
|
| cooperation |
| ARLID |
cav_un_auth*0298141 |
| name |
University of Sussex |
| country |
GB |
|
| confidential |
S |
| mrcbC86 |
1* Article Economics|Social Sciences Mathematical Methods |
| mrcbC91 |
C |
| mrcbT16-e |
ECONOMICS|SOCIALSCIENCESMATHEMATICALMETHODS |
| mrcbT16-j |
8.761 |
| mrcbT16-s |
8.371 |
| mrcbT16-D |
Q1* |
| mrcbT16-E |
Q1* |
| arlyear |
2022 |
| mrcbU14 |
85141848909 SCOPUS |
| mrcbU24 |
PUBMED |
| mrcbU34 |
000883967300012 WOS |
| mrcbU63 |
cav_un_epca*0251799 Review of Economics and Statistics 0034-6535 1530-9142 Roč. 104 č. 6 2022 1304 1316 MIT Press |
|