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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

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