Emerging stock market volatility and economic fundamentals: the importance of US uncertainty spillovers, financial and health crises

This paper studies the US and global economic fundamentals that exacerbate emerging stock markets volatility and can be considered as systemic risk factors increasing financial stability vulnerabilities. We apply the bivariate HEAVY system of daily and intra-daily volatility equations enriched with...

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Detalles Bibliográficos
Autores principales: Karanasos, M., Yfanti, S., Hunter, J.
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer US 2021
Materias:
S.I.: Risk Management Decisions and Value under Uncertainty
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8059431/
https://www.ncbi.nlm.nih.gov/pubmed/33903782
http://dx.doi.org/10.1007/s10479-021-04042-y

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8059431/
https://www.ncbi.nlm.nih.gov/pubmed/33903782
http://dx.doi.org/10.1007/s10479-021-04042-y

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