Volatility spillovers during normal and high volatility states and their driving factors : a cross-country and cross-asset analysis
Year of publication: |
2024
|
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Authors: | Iqbal, Najaf ; Bouri, Elie ; Liu, Guangrui ; Kumar, Ashish |
Published in: |
International journal of finance & economics : IJFE. - Chichester [u.a.] : Wiley, ISSN 1099-1158, ZDB-ID 1493204-0. - Vol. 29.2024, 1, p. 975-995
|
Subject: | risk aversion | COVID-19 outbreak | drivers of extreme spillovers | extreme volatility spillovers | implied volatility indices | middle and upper quantiles | Spillover-Effekt | Spillover effect | Volatilität | Volatility | Coronavirus |
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