The Eurozone banking sector in the time of COVID-19: Measuring volatility connectedness
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DOI: 10.1016/j.gfj.2021.100677
Abstract: Abstract This article investigates the volatility connectedness of the Eurozone banking system over the last 15 years (from 2005 to 2020). Applying the Diebold-Yilmaz Connectedness Index model to the daily stock return volatilities of 30… read more here.
Keywords: eurozone; banking; eurozone banking; volatility connectedness ... See more keywords