2 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…
q-fin.GN2016
Asymmetric volatility connectedness on forex markets
Jozef Barunik, Evzen Kocenda, Lukas Vacha
We show how bad and good volatility propagate through forex markets, i.e., we provide evidence for asymmetric volatility connectedness on forex markets. Using high-frequency, intra…