The size of good and bad volatility shocks does matter for spillovers
Elie Bouri, Etienne Harb
| Year of publication: |
2022
|
|---|---|
| Authors: | Bouri, Elie ; Harb, Etienne |
| Published in: |
Journal of international financial markets, institutions & money. - Amsterdam : Elsevier, ISSN 1042-4431, ZDB-ID 1117317-8. - Vol. 80.2022, p. 1-24
|
| Subject: | COVID-19 pandemic | Extreme good and bad volatility | Global stock markets | High-frequency data | Quantile connectedness | Realized semivariances | relative intensity of shock spillover (RISS) | Shock size at various quantiles | Tail-based spillovers | Volatilität | Volatility | Schock | Shock | Spillover-Effekt | Spillover effect | Aktienmarkt | Stock market | Coronavirus | Schätzung | Estimation | Welt | World | VAR-Modell | VAR model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.intfin.2022.101626 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013533155