no code implementations • 7 Sep 2023 • 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.
no code implementations • 18 Jan 2021 • Jozef Barunik, Mattia Bevilacqua, Robert Faff
We argue that uncertainty network structures extracted from option prices contain valuable information for business cycles.
no code implementations • 29 Oct 2018 • Jozef Barunik, Mattia Bevilacqua, Radu Tunaru
This paper introduces forward-looking measures of the network connectedness of fears in the financial system, arising due to the good and bad beliefs of market participants about uncertainty that spreads unequally across a network of banks.
