Volatility impacts on the European banking sector: GFC and COVID-19

This paper analyses the volatility transmission between European Global Systemically Important Banks (GSIBs) and implied stock market volatility. A Dynamic Conditional Correlation Generalized Autoregressive Conditional Heteroskedasticity model is applied to determine the dynamic correlation between...

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Detalles Bibliográficos
Autores principales: Batten, Jonathan A., Choudhury, Tonmoy, Kinateder, Harald, Wagner, Niklas F.
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer US 2022
Materias:
Original Research
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8853938/
https://www.ncbi.nlm.nih.gov/pubmed/35194287
http://dx.doi.org/10.1007/s10479-022-04523-8

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8853938/
https://www.ncbi.nlm.nih.gov/pubmed/35194287
http://dx.doi.org/10.1007/s10479-022-04523-8

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