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

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

Research output: Contribution to journalArticlepeer-review

4 Citations (Scopus)


In this paper, we utilize the Chicago Board Option Exchange (CBOE) implied volatility indices to estimate the time-frequency information transmission among financial markets from 01.08.2008 to 31.10.2019. In doing so, we utilize the rolling window wavelet correlation (RWWC), Diebold & Yilmaz (The Economic Journal 119: 158–171, 2012), and Barunik & Krehlik (Journal of Financial Econometrics 16: 271–296, 2018). Our empirical findings suggest short-term and long-term dynamic connectedness between implied volatility indices of alternative assets. The long-term analysis findings suggest potential hedging and diversification opportunities that can be exploited by taking offsetting positions across volatility indices. The findings confirm heterogeneity between short-term and long-term connectedness results. Our findings also show superior out of sample hedging effectiveness of GVZ. The implications of the findings are further discussed in the paper.

Original languageEnglish
JournalAnnals of Operations Research
Publication statusPublished - 14 Sept 2021
Externally publishedYes

Bibliographical note

Funding Information:
Muhammad Abubakr Naeem gratefully acknowledges the support of Science Foundation Ireland under grant number 16/SPP/3347.

Publisher Copyright:
© 2021, The Author(s), under exclusive licence to Springer Science+Business Media, LLC, part of Springer Nature.


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