This paper proposes a method for measuring volatility risk premiums using option prices and high-frequency intra-day price data, which then apply to stock indices in Japan, Europe, and the US. The paper also investigates how volatilities and volatility risk premiums propagate among the markets and how the interdependency through the propagation changes during the course of the global financial ...

• We consider spillovers between oil price volatility, OVX , and key uncertainty indicators. use monthly data for the VIX US EPU global geopolitical risk partisan conflict indices. employ Diebold Yilmaz framework to extract net pairwise indicators . All different types of are linked but only from contain significant in-sample predictive information. Spillovers do not generate real out-of-sample...