Andrada Félix, Julián; Fernandez-Perez, Adrian; … - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-21
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 results suggest that 15.67% of the total variance of forecast errors … variation was due to idiosyncratic shocks. Nevertheless, we find that stress connectedness varies over time, with a surge during …