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Volatility spillovers across European stock markets under the uncertainty of Brexit · Study

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ArticleVolatility spillovers across European stock markets under the uncertainty of Brexit

Hong Li2019

OA

Articlegreen2019

Volatility spillovers across European stock markets under the uncertainty of Brexit

49 citations·0/0 files stored·Economic Modelling

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Financial Risk and Volatility Modeling Market Dynamics and Volatility COVID-19 Pandemic Impacts

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References

1998Generalized impulse response analysis in linear multivariate models 2009The Impact of Uncertainty Shocks 2011Better to give than to receive: Predictive directional measurement of volatility spillovers 1996Impulse response analysis in nonlinear multivariate models 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements 1995Multivariate Simultaneous Generalized ARCH 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets 2007The Impact of Uncertainty Shocks

Cited by

2023Dynamic spillover and connectedness in higher moments of European stock sector markets 2023An examination of green bonds as a hedge and safe haven for international equity markets 2019Resilience of United Kingdom financial institutions to major uncertainty: A network analysis related to the Credit Default Swaps market 2023Stock market integration and volatility spillovers: new evidence from Asia–Pacific and European markets 2019Making sense of Brexit losses: An in-depth review of macroeconomic studies

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Details

Year2019

Typearticle

Published2019-03-07

VenueEconomic Modelling

ISSN-L0264-9993

Languageen

Citations49

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.econmod.2019.03.001

openalex_workW2922380754

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2023Frequency heterogeneity of tail connectedness: Evidence from global stock markets