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March 3, 20260 citationsOpen Access

Robustness of Volatility Proxies in Connectedness Measures

On the Robustness of Volatility Proxies-Based Connectedness Measures

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Authors

WMWafa Kammoun Masmoudi

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Overview

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.

synapsesocial.com/papers/69a75e7fc6e9836116a29277https://doi.org/10.2139/ssrn.6093967
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