On bank return and volatility spillovers : identifying transmitters and receivers during crisis periods
George N. Apostolakis, Christos Floros, Nikolaos Giannellis
| Year of publication: |
2022
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|---|---|
| Authors: | Apostolakis, George N. ; Floros, Christos ; Giannellis, Nikolaos |
| Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 82.2022, p. 156-176
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| Subject: | Asymmetries | Bank volatility | Connectedness | Contagion | DCC | Financial crises | GJR | Return spillovers | TVP-VAR | Volatilität | Volatility | Spillover-Effekt | Spillover effect | Finanzkrise | Financial crisis | Kapitaleinkommen | Capital income | Bankenkrise | Banking crisis | Bank | Ansteckungseffekt | Contagion effect | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.iref.2022.06.009 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10013542907