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The Eurozone banking sector in the time of COVID-19: Measuring volatility connectedness · Study

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ArticleThe Eurozone banking sector in the time of COVID-19: Measuring volatility connectedness

Matteo Foglia2021

Article2021

The Eurozone banking sector in the time of COVID-19: Measuring volatility connectedness

Matteo Foglia · Abdelhamid Addi · Eliana Angelini

55 citations·0/0 files stored·Global Finance Journal

No readable copy stored yet — this record is metadata only.

Financial Risk and Volatility Modeling Banking stability, regulation, efficiency COVID-19 Pandemic Impacts

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 55 citations exist upstream.

References

1998Generalized impulse response analysis in linear multivariate models 2011Better to give than to receive: Predictive directional measurement of volatility spillovers 1996Impulse response analysis in nonlinear multivariate models 2014On the network topology of variance decompositions: Measuring the connectedness of financial firms 2012Econometric measures of connectedness and systemic risk in the finance and insurance sectors 2016CoVaR 2016Measuring Systemic Risk 2020The role of ESG performance during times of financial crisis: Evidence from COVID-19 in China

Cited by

2023Time-frequency connectedness and spillover among carbon, climate, and energy futures: Determinants and portfolio risk management implications 2022The extreme risk connectedness of the new financial system: European evidence 2023Systemic risk propagation in the Eurozone: A multilayer network approach 2022Does Fossil Fuel Financing Affect Banks’ ESG Ratings?

Details

Year2021

Typearticle

Published2021-10-14

VenueGlobal Finance Journal

ISSN-L1044-0283

Languageen

Citations55

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

Identifiers

doi10.1016/j.gfj.2021.100677

openalex_workW3207090106

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