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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

Continuous and discrete time modelling of spillovers in equity and bond markets

Dontis-Charitos, Panagiotis; Gough, Orla; Nowman, Kalid Ben - In: International journal of bonds and derivatives 1 (2013) 1, pp. 54-87

Persistent link: https://www.econbiz.de/10010338909

Empirical analysis of the US swap curve

Gough, O.; Juneja, J. A.; Nowman, K. B.; Dellen, S. van - In: The empirical economics letters : a monthly … 12 (2013) 9, pp. 985-994

Persistent link: https://www.econbiz.de/10010362320

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