On the Robustness of Volatility Proxies-Based Connectedness Measures

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.