On the macro-drivers of realized volatility : the destabilizing impact of UK policy uncertainty across Europe
M. Karanasos and S. Yfanti
| Year of publication: |
2020
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|---|---|
| Authors: | Karanasos, Menelaos ; Yfanti, S. |
| Published in: |
The European journal of finance. - London [u.a.] : Taylor & Francis Group, ISSN 1466-4364, ZDB-ID 2001610-4. - Vol. 26.2020, 12, p. 1146-1183
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| Subject: | asymmetries | financial crisis | HEAVY model | high-frequency data | Macro-financial linkages | power transformations | realized variance | risk management | structural breaks | UK economic policy uncertainty | Volatilität | Volatility | Finanzkrise | Financial crisis | Risikomanagement | Risk management | Risiko | Risk | Strukturbruch | Structural break | EU-Staaten | EU countries | Finanzmarkt | Financial market | Zeitreihenanalyse | Time series analysis | Börsenkurs | Share price | Schätzung | Estimation | ARCH-Modell | ARCH model | Europa | Europe | Wirtschaftspolitik | Economic policy | Großbritannien | United Kingdom |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1351847X.2020.1732437 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012264953