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Are there return and volatility spillovers from major bank stocks to the national stock market in the UK?

Dontis-Charitos, Panagiotis; Gough, Orla; Nowman, Kalid Ben - In: Global banking, financial markets and crises, (pp. 243-268). 2013

Persistent link: https://www.econbiz.de/10010231076

Modelling and forecasting international interest rate spreads : UK, Germany, Japan and the USA

Gough, Orla; Nowman, Kalid Ben; Van Dellen, Stefan - In: International journal of financial engineering and risk … 1 (2014) 4, pp. 309-333

Persistent link: https://www.econbiz.de/10010476910

Gaussian estimation of single-factor continuous time models of the term structure of interest rates

Nowman, Kalid Ben - In: The journal of finance : the journal of the American … 52 (1997) 4, pp. 1695-1706

Persistent link: https://www.econbiz.de/10001227625

Gaussian estimation and forecasting of multi-factor term structure models with an application to Japan and the United Kingdom

Nowman, Kalid Ben - In: Asia-Pacific financial markets 8 (2001) 1, pp. 23-34

Persistent link: https://www.econbiz.de/10001601028

Are there return and volatility spillovers from major bank stocks to the national stock market in the UK?

Dontis-Charitos, Panagiotis; Gough, Orla; Nowman, K. Ben; … - In: Global banking, financial markets and crises, (pp. 243-268). 2013

We investigate the return and volatility spillovers from major UK banks to Financial Times Stock Exchange 100 (FTSE 100) index using Gaussian estimation and continuous time models as well as discrete time multivariate GARCH (MGARCH) modelling approaches. Using daily, weekly and monthly data over...

Persistent link: https://www.econbiz.de/10015370264