Volatility impacts on the European banking sector: GFC and COVID-19
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DOI: 10.1007/s10479-022-04523-8
Abstract: This paper analyses the volatility transmission between European Global Systematically Important Banks (GSIBs) and implied stock market volatility. A Dynamic Conditional Correlation Generalized Autoregressive Conditional Heteroskedasticity model is applied to determine the dynamic correlation between… read more here.
Keywords: european banking; impacts european; volatility impacts; gfc ... See more keywords