Analysis reveals the effectiveness of volatility proxies in connectedness measures across financial markets, indicating significant implications for risk management.
Key Points
Connectedness measures show high reliability when using volatility proxies, helping to understand market interactions.
Studying multiple financial markets revealed increased predictability and stability in connectedness measures over time.
Assessment using volatility proxies across various timeframes improved our understanding of market dynamics and interdependencies.
Implications for risk management strategies in financial markets suggest that volatility proxies may enhance predictive capabilities.
Cite This Study
Wafa Kammoun Masmoudi (2026) studied this question.