Andrada Félix, Julián; Fernandez-Perez, Adrian; … - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-21
Using a unique database, this paper examines the interconnection among stress indicators of the Spanish financial markets during the period of January 1999 to April 2021, applying both the connectedness framework and the Time-Varying Parameter Vector Autoregressive connectedness approach. Our...
