Equity market spillovers in the Americas

Many aspects of financial markets merit monitoring in risk management and portfolio allocation contexts, including (and perhaps especially) in contexts of interest to central banks. Much recent attention, for example, has been devoted to measuring and forecasting return volatilities and correlations...

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Detalles Bibliográficos
Autores principales:	Diebold, Francis X., 1959-, Yilmaz, Kamil
Formato:	Artículo
Lenguaje:	eng
Publicado:	Banco Central de Chile 2019
Materias:	MERCADO FINANCIERO BANCOS CENTRALES
Acceso en línea:	https://hdl.handle.net/20.500.12580/3762
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spelling	oai-20.500.12580-37622021-04-24T11:03:59Z Equity market spillovers in the Americas Diebold, Francis X., 1959- Yilmaz, Kamil MERCADO FINANCIERO BANCOS CENTRALES Many aspects of financial markets merit monitoring in risk management and portfolio allocation contexts, including (and perhaps especially) in contexts of interest to central banks. Much recent attention, for example, has been devoted to measuring and forecasting return volatilities and correlations, as in the case of market-based implied volatilities. One can extend the market-based approach by monitoring not implied volatility extracted from a single option, but rather entire risk-neutral densities extracted from sets of options with different strike prices (Gray and Malone, 2008). This is consistent with the density forecasting perspective on risk measurement advocated by Diebold, Gunther, and Tay (1998) and several of the references therein. 2019-11-01T00:05:02Z 2019-11-01T00:05:02Z 2010 Artículo 978-956-7421-34-3 https://hdl.handle.net/20.500.12580/3762 eng Series on Central Banking, Analysis, and Economic Policies, no. 15 Attribution-NonCommercial-NoDerivs 3.0 Chile http://creativecommons.org/licenses/by-nc-nd/3.0/cl/ .pdf Sección o Parte de un Documento p. 199-214 application/pdf Banco Central de Chile
institution	Banco Central
collection	Banco Central
language	eng
topic	MERCADO FINANCIERO BANCOS CENTRALES
spellingShingle	MERCADO FINANCIERO BANCOS CENTRALES Diebold, Francis X., 1959- Yilmaz, Kamil Equity market spillovers in the Americas
description	Many aspects of financial markets merit monitoring in risk management and portfolio allocation contexts, including (and perhaps especially) in contexts of interest to central banks. Much recent attention, for example, has been devoted to measuring and forecasting return volatilities and correlations, as in the case of market-based implied volatilities. One can extend the market-based approach by monitoring not implied volatility extracted from a single option, but rather entire risk-neutral densities extracted from sets of options with different strike prices (Gray and Malone, 2008). This is consistent with the density forecasting perspective on risk measurement advocated by Diebold, Gunther, and Tay (1998) and several of the references therein.
format	Artículo
author	Diebold, Francis X., 1959- Yilmaz, Kamil
author_facet	Diebold, Francis X., 1959- Yilmaz, Kamil
author_sort	Diebold, Francis X., 1959-
title	Equity market spillovers in the Americas
title_short	Equity market spillovers in the Americas
title_full	Equity market spillovers in the Americas
title_fullStr	Equity market spillovers in the Americas
title_full_unstemmed	Equity market spillovers in the Americas
title_sort	equity market spillovers in the americas
publisher	Banco Central de Chile
publishDate	2019
url	https://hdl.handle.net/20.500.12580/3762
work_keys_str_mv	AT dieboldfrancisx1959 equitymarketspilloversintheamericas AT yilmazkamil equitymarketspilloversintheamericas
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Equity market spillovers in the Americas

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