Volatility Connectedness Using R

By Omobolanle Folarin, Olaoluwa S. Yaya, Bright F. Ajibade

Volatility Connectedness Using R offers a comprehensive and practical introduction to modeling and analyzing volatility spillovers in financial markets. Designed for graduate students, researchers, and data-driven finance professionals, this book systematically walks through the theory and practice of connectedness measures-from foundational asset pricing and volatility estimation to cutting-edge methods like Diebold-Yilmaz spillovers, quantile connectedness, and time-frequency analysis.
Utilizing the powerful R programming language, the book demonstrates real-world applications using key packages such as ConnectednessApproach, QConn, rmgarch, and frequencyConnectedness. Each chapter integrates theory with hands-on code examples, ensuring readers not only understand the mathematical foundations but also develop the skills to implement them in empirical research.
Topics covered include: Log-returns, volatility proxies, and stylized facts in asset pricingUnivariate and multivariate GARCH modelsDiebold-Yilmaz spillover index and network interpretationQuantile-based measures of connectedness for tail-risk analysisTime-varying parameter models in both time and frequency domainsImplications for portfolio investment and risk managementWhether you're exploring systemic risk, forecasting market interdependence, or building robust investment strategies, Volatility Connectedness Using R is your essential guide to mastering volatility dynamics in an interconnected world.

• Format: Paperback
• Language: English
• ISBN: B0FKZWLV6Y
• ISBN13: 9798296257550
• Release Date: August 2025
• Publisher: Independently Published
• Length: 102 Pages
• Weight: 0.32 lbs.
• Dimensions: 0.2" x 6.0" x 9.0"