3 papers
q-fin.GN2023
Common Firm-level Investor Fears: Evidence from Equity Options
Jozef Barunik, Mattia Bevilacqua, Michael Ellington
We identify a new type of risk, common firm-level investor fears, from commonalities within the cross-sectional distribution of individual stock options. We define firm-level fears…
econ.GN2021
Dynamic industry uncertainty networks and the business cycle
Jozef Barunik, Mattia Bevilacqua, Robert Faff
We argue that uncertainty network structures extracted from option prices contain valuable information for business cycles. Classifying U.S. industries according to their contribut…
q-fin.GN2018
Asymmetric Network Connectedness of Fears
Jozef Barunik, Mattia Bevilacqua, Radu Tunaru
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 u…