Quantitative easing and volatility spillovers across countries and asset classes

Zihui Yang, Yinggang Zhou

Year of publication:	February 2017
Authors:	Yang, Zihui ; Zhou, Yinggang
Published in:	Management science : journal of the Institute for Operations Research and the Management Sciences. - Catonsville, MD : INFORMS, ISSN 0025-1909, ZDB-ID 206345-1. - Vol. 63.2017, 2, p. 333-354
Subject:	volatility spillover \| risk-neutral volatility \| quantitative easing \| systemic risk \| financial network \| structural VAR \| Volatilität \| Volatility \| Spillover-Effekt \| Spillover effect \| Geldpolitik \| Monetary policy \| Quantitative Lockerung \| Quantitative easing \| VAR-Modell \| VAR model \| Finanzkrise \| Financial crisis \| Systemrisiko \| Systemic risk \| ARCH-Modell \| ARCH model \| Schock \| Shock \| Welt \| World \| Finanzmarkt \| Financial market

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