---
title: Sectoral and Regional Volatility Connection
url: https://www.ml-quant.com/papers/repec/ibn-ijefaa-v-15-y-2023-i-4-p-8/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: RePEc:ibn:ijefaa:v:15:y:2023:i:4:p:8
source_url: https://econpapers.repec.org/scripts/redir.pf?u=https%3A%2F%2Fccsenet.org%2Fjournal%2Findex.php%2Fijef%2Farticle%2Fdownload%2F0%2F0%2F48488%2F52185%3Bh%3Drepec%3Aibn%3Aijefaa%3Av%3A15%3Ay%3A2023%3Ai%3A4%3Ap%3A8
featured: 2023-08-09
citations: unknown
topic: Derivatives & Volatility
---


# Sectoral and Regional Volatility Connection

A study found increased volatility connectedness between the CDS and equity markets in the US, UK, EU, and Japan during crisis periods, with equity being the main volatility transmitter.

- Source: https://econpapers.repec.org/scripts/redir.pf?u=https%3A%2F%2Fccsenet.org%2Fjournal%2Findex.php%2Fijef%2Farticle%2Fdownload%2F0%2F0%2F48488%2F52185%3Bh%3Drepec%3Aibn%3Aijefaa%3Av%3A15%3Ay%3A2023%3Ai%3A4%3Ap%3A8
- Identifier: RePEc:ibn:ijefaa:v:15:y:2023:i:4:p:8
- Released: 2023-08-09
- First featured: Quant Letter No. 11 (2023-08-09): https://www.ml-quant.com/issues/2023-08-09/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Derivatives & Volatility

## Related

- [Rough Volatility: Fact or Artefact?](https://www.ml-quant.com/papers/arxiv/2203.13820/): Fact or Artifact: The study proposes a new method to estimate the roughness of financial asset volatility, attributing observed roughness to microstructure noise.
- [Risk Revisited](https://www.ml-quant.com/papers/ssrn/4825844/): The study identifies recency, cluster, and sign as three factors shaping investors' risk perceptions of a stock, influencing trading volume and future volatility.
- [Path shadowing Monte Carlo](https://www.ml-quant.com/papers/arxiv/2308.01486/): Improved Predictions: The paper presents a Path Shadowing Monte-Carlo method that uses past data to predict future financial paths, showing its effectiveness in predicting future volatility and determining conditional option smiles for the S&P500.
- [Dynamic Portfolio Choice with Intertemporal Hedging and Transaction Costs](https://www.ml-quant.com/papers/ssrn/4522752/): CARA investors use a constant trading speed to balance their portfolio, taking into account trading costs and execution risks, to optimize past trades and future investment opportunities.
- [Multivariate Lévy models: calibration and pricing](https://www.ml-quant.com/papers/arxiv/2303.13346/): Calibration and Pricing: The paper investigates the impact of multivariate Lévy models' structures on calibration and pricing, using various methods to assess their fit with market data and pricing of exotic derivatives.
- [A View from Outside: Sovereign CDS Volatility as an Indicator of Economic Uncertainty](https://www.ml-quant.com/papers/ssrn/4515924/): The article suggests that the fluctuation of sovereign credit default swaps can indicate economic uncertainty, aligning with economic policy uncertainty indices.