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On the macro-drivers of realized volatility : the destabilizing impact of UK policy uncertainty across Europe
Karanasos, Menelaos; Yfanti, S. - In: The European journal of finance 26 (2020) 12, pp. 1146-1183
Persistent link: https://www.econbiz.de/10012264953
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Risk management in financial markets
Panz, Sven - 2020
Persistent link: https://www.econbiz.de/10012254516
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Brexit and uncertainty in financial markets
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Trani, … - In: International Journal of Financial Studies : open … 6 (2018) 1, pp. 1-9
any significant changes in the degree of persistence of the FTSE (Financial Times Stock Index) 100 Implied Volatility …
Persistent link: https://www.econbiz.de/10011857194
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Brexit and uncertainty in financial markets
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Trani, … - 2018
any significant changes in the degree of persistence of the FTSE 100 Implied Volatility Index (IVI) and of the British …
Persistent link: https://www.econbiz.de/10011789327
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Brexit and uncertainty in financial markets
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Trani, … - 2018
any significant changes in the degree of persistence of the FTSE 100 Implied Volatility Index (IVI) and of the British …
Persistent link: https://www.econbiz.de/10011793915
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Brexit and uncertainty in financial markets
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Trani, … - 2018
Persistent link: https://www.econbiz.de/10011995622
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Impact of the ban on uncovered SCDS trade on the interdependencies between the CDS market and other sectors of financial markets : the case of safe and developed versus risky and d...
Kliber, Agata - In: Comparative economic research : Central and Eastern Europe 19 (2016) 1, pp. 75-97
Persistent link: https://www.econbiz.de/10011598086
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Impact of the ban on uncovered sCDS trade on the interdependencies between the CDS market and other sectors of financial markets : the case of safe and developed versus risky and d...
Kliber, Agata - In: Comparative economic research : Central and Eastern Europe 19 (2016) 1, pp. 77-99
The aim of the article is to verify the impact of the ban on uncovered sCDS trade in Europe on the interdependencies between the sCDS market and other sectors of financial markets. We analyse two European markets: the safe and developed Swedish market, and the risky and developing Hungarian one....
Persistent link: https://www.econbiz.de/10011869394
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Volatility connectedness of bank stocks across the Atlantic
Yılmaz, Kamil - 2014
This paper presents an analysis of the dynamic measures of volatility connectedness of major bank stocks in the US and … direction of the volatility connectedness was from the US banks towards the EU banks. However, once the financial crisis became … global in the last quarter of 2008, volatility connectedness became bi-directional. The surge in volatility connectedness …
Persistent link: https://www.econbiz.de/10010239322
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Conditional volatility spillover effects across emerging financial markets
Liow, Kim Hiang - In: Asia-Pacific journal of financial studies 44 (2015) 2, pp. 215-245
Persistent link: https://www.econbiz.de/10011458943