financial and non-financial sectors in Spain. To this end, the study draws on the connectedness methodology proposed by Diebold … current COVID-19 pandemic when spillovers were generated across financial markets and sectors. …

This paper studies spillovers among US and European sovereign yields. We provide a new method based on absolute … magnitude restrictions of the impact matrix to identify the countries that were the main sources of spillovers. Despite the … large size of shocks from euro area stressed countries, connectedness among sovereign yields declined between 2008 and 2012 …

We assess the dynamics of volatility spillovers among global systemically important banks (G-SIBs). We measure … spillovers using vector-autoregressive models of range volatility of the equity prices of G-SIBs, together with machine learning … methods. We then compare the size of these spillovers with the degree of systemic importance measured by the Basel Committee …

This paper studies spillovers among US and European sovereign yields. We provide a new method based on absolute … magnitude restrictions of the impact matrix to identify the countries that were the main sources of spillovers. Despite the … large size of shocks from euro area stressed countries, connectedness among sovereign yields declined between 2008 and 2012 …