IDEAS home Printed from https://ideas.repec.org/a/eee/ecosys/v48y2024i2s0939362524000050.html
   My bibliography  Save this article

Contagion among European financial indices, evidence from a quantile VAR approach

Author

Listed:
  • Palomba, Giulio
  • Tedeschi, Marco

Abstract

The aim of this paper is to analyze the dynamic relationships binding European financial market indices over the decade 2013–2022. In particular, we estimate a quantile VAR to study spillovers in different volatility scenarios using a measure of realised volatility robust to jumps and microstructural noise. Our results reveal that, especially for low quantiles, the degree of implied interconnectedness between the indices is affected negatively by the Brexit and the outbreak of the Russia-Ukraine conflict, while it augments after the Covid-19 pandemic occurrence. We also found that the EU central markets (Belgian, Dutch, French, and German) are important for the stability of the Eurozone system when uncertainty increases. On the other hand, the Italian and Portuguese markets transmit spillovers when volatility is high, whereas when the volatility is moderate or reduced, they absorb spillovers. The role of Scandinavian markets is mixed since the Finnish and Swedish markets are spillover emitters, while the Danish and the Norwegian emit only when the volatility is high. Our empirical analysis provides valuable information to policymakers, practitioners, and financial institutions.

Suggested Citation

  • Palomba, Giulio & Tedeschi, Marco, 2024. "Contagion among European financial indices, evidence from a quantile VAR approach," Economic Systems, Elsevier, vol. 48(2).
  • Handle: RePEc:eee:ecosys:v:48:y:2024:i:2:s0939362524000050
    DOI: 10.1016/j.ecosys.2024.101183
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0939362524000050
    Download Restriction: Full text for ScienceDirect subscribers only

    File URL: https://libkey.io/10.1016/j.ecosys.2024.101183?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Qureshi, Anum & Rizwan, Muhammad Suhail & Ahmad, Ghufran & Ashraf, Dawood, 2022. "Russia–Ukraine war and systemic risk: Who is taking the heat?," Finance Research Letters, Elsevier, vol. 48(C).
    2. Chatziantoniou, Ioannis & Gabauer, David, 2021. "EMU risk-synchronisation and financial fragility through the prism of dynamic connectedness," The Quarterly Review of Economics and Finance, Elsevier, vol. 79(C), pages 1-14.
    3. P. Hartmann & S. Straetmans & C. G. de Vries, 2004. "Asset Market Linkages in Crisis Periods," The Review of Economics and Statistics, MIT Press, vol. 86(1), pages 313-326, February.
    4. Topcu, Mert & Gulal, Omer Serkan, 2020. "The impact of COVID-19 on emerging stock markets," Finance Research Letters, Elsevier, vol. 36(C).
    5. Warwick McKibbin & David Vines, 2020. "Global macroeconomic cooperation in response to the COVID-19 pandemic: a roadmap for the G20 and the IMF," Oxford Review of Economic Policy, Oxford University Press and Oxford Review of Economic Policy Limited, vol. 36(Supplemen), pages 297-337.
    6. Francis X. Diebold & Kamil Yilmaz, 2009. "Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets," Economic Journal, Royal Economic Society, vol. 119(534), pages 158-171, January.
    7. Baumöhl, Eduard & Kočenda, Evžen & Lyócsa, Štefan & Výrost, Tomáš, 2018. "Networks of volatility spillovers among stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 1555-1574.
    8. Christos Savva & Denise Osborn & Len Gill, 2009. "Spillovers and correlations between US and major European stock markets: the role of the euro," Applied Financial Economics, Taylor & Francis Journals, vol. 19(19), pages 1595-1604.
    9. Jiang, Yonghong & Fu, Yuyuan & Ruan, Weihua, 2019. "Risk spillovers and portfolio management between precious metal and BRICS stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 534(C).
    10. Chatziantoniou, Ioannis & Gabauer, David & Stenfors, Alexis, 2021. "Interest rate swaps and the transmission mechanism of monetary policy: A quantile connectedness approach," Economics Letters, Elsevier, vol. 204(C).
    11. Chevallier, Julien & Sévi, Benoît, 2012. "On the volatility–volume relationship in energy futures markets using intraday data," Energy Economics, Elsevier, vol. 34(6), pages 1896-1909.
    12. Nishimura, Yusaku & Sun, Bianxia, 2018. "The intraday volatility spillover index approach and an application in the Brexit vote," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 55(C), pages 241-253.
    13. Alin Marius Andries & Elena Galasan, 2020. "Measuring Financial Contagion and Spillover Effects with a State-Dependent Sensitivity Value-at-Risk Model," Risks, MDPI, vol. 8(1), pages 1-20, January.
    14. Billio, Monica & Getmansky, Mila & Lo, Andrew W. & Pelizzon, Loriana, 2012. "Econometric measures of connectedness and systemic risk in the finance and insurance sectors," Journal of Financial Economics, Elsevier, vol. 104(3), pages 535-559.
    15. Franklin Allen & Douglas Gale, 2000. "Financial Contagion," Journal of Political Economy, University of Chicago Press, vol. 108(1), pages 1-33, February.
    16. Andersen, Torben G. & Dobrev, Dobrislav & Schaumburg, Ernst, 2012. "Jump-robust volatility estimation using nearest neighbor truncation," Journal of Econometrics, Elsevier, vol. 169(1), pages 75-93.
    17. Zhang, Dayong & Hu, Min & Ji, Qiang, 2020. "Financial markets under the global pandemic of COVID-19," Finance Research Letters, Elsevier, vol. 36(C).
    18. Wei, Yu & Bai, Lan & Li, Xiafei, 2022. "Normal and extreme interactions among nonferrous metal futures: A new quantile-frequency connectedness approach," Finance Research Letters, Elsevier, vol. 47(PB).
    19. Liu, Lily Y. & Patton, Andrew J. & Sheppard, Kevin, 2015. "Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes," Journal of Econometrics, Elsevier, vol. 187(1), pages 293-311.
    20. Xin Huang & George Tauchen, 2005. "The Relative Contribution of Jumps to Total Price Variance," Journal of Financial Econometrics, Oxford University Press, vol. 3(4), pages 456-499.
    21. Su, Xianfang, 2020. "Measuring extreme risk spillovers across international stock markets: A quantile variance decomposition analysis," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    22. Robert J. Barro & José F. Ursúa & Joanna Weng, 2020. "The Coronavirus and the Great Influenza Pandemic: Lessons from the “Spanish Flu” for the Coronavirus’s Potential Effects on Mortality and Economic Activity," NBER Working Papers 26866, National Bureau of Economic Research, Inc.
    23. Baele, Lieven, 2005. "Volatility Spillover Effects in European Equity Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 40(2), pages 373-401, June.
    24. Ansgar Belke & Irina Dubova & Thomas Osowski, 2018. "Policy uncertainty and international financial markets: the case of Brexit," Applied Economics, Taylor & Francis Journals, vol. 50(34-35), pages 3752-3770, July.
    25. Andersen, Torben G & Bollerslev, Tim, 1998. "Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 885-905, November.
    26. Ahelegbey, Daniel Felix & Giudici, Paolo, 2022. "NetVIX — A network volatility index of financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 594(C).
    27. Hou, Yang (Greg) & Li, Steven, 2020. "Volatility and skewness spillover between stock index and stock index futures markets during a crash period: New evidence from China," International Review of Economics & Finance, Elsevier, vol. 66(C), pages 166-188.
    28. Liu, Zhenhua & Shi, Xunpeng & Zhai, Pengxiang & Wu, Shan & Ding, Zhihua & Zhou, Yuqin, 2021. "Tail risk connectedness in the oil-stock nexus: Evidence from a novel quantile spillover approach," Resources Policy, Elsevier, vol. 74(C).
    29. Ammy-Driss, Ayoub & Garcin, Matthieu, 2023. "Efficiency of the financial markets during the COVID-19 crisis: Time-varying parameters of fractional stable dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 609(C).
    30. Dimitrios P. Louzis, 2013. "Measuring return and volatility spillovers in euro area financial markets," Working Papers 154, Bank of Greece.
    31. Mensi, Walid & Shafiullah, Muhammad & Vo, Xuan Vinh & Kang, Sang Hoon, 2021. "Volatility spillovers between strategic commodity futures and stock markets and portfolio implications: Evidence from developed and emerging economies," Resources Policy, Elsevier, vol. 71(C).
    32. McIver, Ron P. & Kang, Sang Hoon, 2020. "Financial crises and the dynamics of the spillovers between the U.S. and BRICS stock markets," Research in International Business and Finance, Elsevier, vol. 54(C).
    33. White, Halbert & Kim, Tae-Hwan & Manganelli, Simone, 2015. "VAR for VaR: Measuring tail dependence using multivariate regression quantiles," Journal of Econometrics, Elsevier, vol. 187(1), pages 169-188.
    34. Li, Hong, 2020. "Volatility spillovers across European stock markets under the uncertainty of Brexit," Economic Modelling, Elsevier, vol. 84(C), pages 1-12.
    35. Lin, Wen-Ling & Engle, Robert F & Ito, Takatoshi, 1994. "Do Bulls and Bears Move across Borders? International Transmission of Stock Returns and Volatility," The Review of Financial Studies, Society for Financial Studies, vol. 7(3), pages 507-538.
    36. Scott R. Baker & Nicholas Bloom & Steven J. Davis & Kyle J. Kost & Marco C. Sammon & Tasaneeya Viratyosin, 2020. "The Unprecedented Stock Market Impact of COVID-19," NBER Working Papers 26945, National Bureau of Economic Research, Inc.
    37. Jackson, Karen & Shepotylo, Oleksandr, 2018. "Post-Brexit trade survival: Looking beyond the European Union," Economic Modelling, Elsevier, vol. 73(C), pages 317-328.
    38. Aristeidis, Samitas & Elias, Kampouris, 2018. "Empirical analysis of market reactions to the UK’s referendum results – How strong will Brexit be?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 53(C), pages 263-286.
    39. Gkillas, Konstantinos & Konstantatos, Christoforos & Floros, Christos & Tsagkanos, Athanasios, 2021. "Realized volatility spillovers between US spot and futures during ECB news: Evidence from the European sovereign debt crisis," International Review of Financial Analysis, Elsevier, vol. 74(C).
    40. repec:dau:papers:123456789/6887 is not listed on IDEAS
    41. Koop, Gary & Pesaran, M. Hashem & Potter, Simon M., 1996. "Impulse response analysis in nonlinear multivariate models," Journal of Econometrics, Elsevier, vol. 74(1), pages 119-147, September.
    42. F. M. Bandi & J. R. Russell, 2008. "Microstructure Noise, Realized Variance, and Optimal Sampling," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 75(2), pages 339-369.
    43. Diebold, Francis X. & Yilmaz, Kamil, 2012. "Better to give than to receive: Predictive directional measurement of volatility spillovers," International Journal of Forecasting, Elsevier, vol. 28(1), pages 57-66.
    44. Leung, Henry & Schiereck, Dirk & Schroeder, Florian, 2017. "Volatility spillovers and determinants of contagion: Exchange rate and equity markets during crises," Economic Modelling, Elsevier, vol. 61(C), pages 169-180.
    45. Wang, Dong & Li, Ping & Huang, Lixin, 2022. "Time-frequency volatility spillovers between major international financial markets during the COVID-19 pandemic," Finance Research Letters, Elsevier, vol. 46(PA).
    46. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 2003. "Modeling and Forecasting Realized Volatility," Econometrica, Econometric Society, vol. 71(2), pages 579-625, March.
    47. Paolo Giudici & Paolo Pagnottoni, 2019. "High Frequency Price Change Spillovers in Bitcoin Markets," Risks, MDPI, vol. 7(4), pages 1-18, November.
    48. Bouri, Elie & Saeed, Tareq & Vo, Xuan Vinh & Roubaud, David, 2021. "Quantile connectedness in the cryptocurrency market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 71(C).
    49. Samitas, Aristeidis & Polyzos, Stathis & Siriopoulos, Costas, 2018. "Brexit and financial stability: An agent-based simulation," Economic Modelling, Elsevier, vol. 69(C), pages 181-192.
    50. Caporin, Massimiliano & Naeem, Muhammad Abubakr & Arif, Muhammad & Hasan, Mudassar & Vo, Xuan Vinh & Hussain Shahzad, Syed Jawad, 2021. "Asymmetric and time-frequency spillovers among commodities using high-frequency data," Resources Policy, Elsevier, vol. 70(C).
    51. Hosoe, Nobuhiro, 2018. "Impact of border barriers, returning migrants, and trade diversion in Brexit: Firm exit and loss of variety," Economic Modelling, Elsevier, vol. 69(C), pages 193-204.
    52. Finta, Marinela Adriana & Aboura, Sofiane, 2020. "Risk premium spillovers among stock markets: Evidence from higher-order moments," Journal of Financial Markets, Elsevier, vol. 49(C).
    53. Pesaran, H. Hashem & Shin, Yongcheol, 1998. "Generalized impulse response analysis in linear multivariate models," Economics Letters, Elsevier, vol. 58(1), pages 17-29, January.
    54. Robert J. Barro & José F. Ursua & Joanna Weng, 2020. "The Coronavirus and the Great Influenza Epidemic - Lessons from the "Spanish Flu" for the Coronavirus's Potential Effects on Mortality and Economic Activity," CESifo Working Paper Series 8166, CESifo.
    55. Yousaf, Imran & Patel, Ritesh & Yarovaya, Larisa, 2022. "The reaction of G20+ stock markets to the Russia–Ukraine conflict “black-swan” event: Evidence from event study approach," Journal of Behavioral and Experimental Finance, Elsevier, vol. 35(C).
    56. Faheem Aslam & Wahbeeah Mohti & Paulo Ferreira, 2020. "Evidence of Intraday Multifractality in European Stock Markets during the Recent Coronavirus (COVID-19) Outbreak," IJFS, MDPI, vol. 8(2), pages 1-13, May.
    57. Beirne, John & Caporale, Guglielmo Maria & Schulze-Ghattas, Marianne & Spagnolo, Nicola, 2010. "Global and regional spillovers in emerging stock markets: A multivariate GARCH-in-mean analysis," Emerging Markets Review, Elsevier, vol. 11(3), pages 250-260, September.
    58. Kang, Sang Hoon & Uddin, Gazi Salah & Troster, Victor & Yoon, Seong-Min, 2019. "Directional spillover effects between ASEAN and world stock markets," Journal of Multinational Financial Management, Elsevier, vol. 52.
    59. Richard C. K. Burdekin & Eric Hughson & Jinlin Gu, 2018. "A first look at Brexit and global equity markets," Applied Economics Letters, Taylor & Francis Journals, vol. 25(2), pages 136-140, January.
    60. repec:aei:rpaper:1008560098 is not listed on IDEAS
    61. Mensi, Walid & Boubaker, Ferihane Zaraa & Al-Yahyaee, Khamis Hamed & Kang, Sang Hoon, 2018. "Dynamic volatility spillovers and connectedness between global, regional, and GIPSI stock markets," Finance Research Letters, Elsevier, vol. 25(C), pages 230-238.
    62. Federico Bandi & Jeffrey Russell & Yinghua Zhu, 2008. "Using High-Frequency Data in Dynamic Portfolio Choice," Econometric Reviews, Taylor & Francis Journals, vol. 27(1-3), pages 163-198.
    63. Chen, Xiao & Chong, Zhaohui & Giudici, Paolo & Huang, Bihong, 2022. "Network centrality effects in peer to peer lending," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 600(C).
    64. Urom, C. & Ndubuisi, Gideon & Guesmi, K., 2022. "Quantile return and volatility connectedness among Non-Fungible Tokens (NFTs) and (un)conventional asset," MERIT Working Papers 2022-017, United Nations University - Maastricht Economic and Social Research Institute on Innovation and Technology (MERIT).
    65. Leung, Y. H. & Schröder, F. & Schiereck, D., 2017. "Volatility spillovers and determinants of contagion: Exchange rate and equity markets during crises," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 85069, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
    66. Faheem Aslam & Paulo Ferreira & Khurrum Shahzad Mughal & Beenish Bashir, 2021. "Intraday Volatility Spillovers among European Financial Markets during COVID-19," IJFS, MDPI, vol. 9(1), pages 1-19, January.
    67. Jushan Bai & Pierre Perron, 2003. "Computation and analysis of multiple structural change models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(1), pages 1-22.
    68. Dornbusch, Rudiger & Park, Yung Chul & Claessens, Stijn, 2000. "Contagion: Understanding How It Spreads," The World Bank Research Observer, World Bank, vol. 15(2), pages 177-197, August.
    69. Nishimura, Yusaku & Tsutsui, Yoshiro & Hirayama, Kenjiro, 2018. "Do international investors cause stock market spillovers? Comparing responses of cross-listed stocks between accessible and inaccessible markets," Economic Modelling, Elsevier, vol. 69(C), pages 237-248.
    70. Vikash Ramiah & Huy N. A. Pham & Imad Moosa, 2017. "The sectoral effects of Brexit on the British economy: early evidence from the reaction of the stock market," Applied Economics, Taylor & Francis Journals, vol. 49(26), pages 2508-2514, June.
    71. Chen, Jinyu & Liang, Zhipeng & Ding, Qian & Liu, Zhenhua, 2022. "Extreme spillovers among fossil energy, clean energy, and metals markets: Evidence from a quantile-based analysis," Energy Economics, Elsevier, vol. 107(C).
    72. Umar, Zaghum & Jareño, Francisco & Escribano, Ana, 2021. "Agricultural commodity markets and oil prices: An analysis of the dynamic return and volatility connectedness," Resources Policy, Elsevier, vol. 73(C).
    73. Luo, Jiawen & Ji, Qiang, 2018. "High-frequency volatility connectedness between the US crude oil market and China's agricultural commodity markets," Energy Economics, Elsevier, vol. 76(C), pages 424-438.
    74. Karim Belcaid & Ahmed El Ghini, 2019. "Spillover Effects among European, the US and Moroccan Stock Markets before and after the Global Financial Crisis," Journal of African Business, Taylor & Francis Journals, vol. 20(4), pages 525-548, October.
    75. Apostolos Ampountolas, 2022. "Cryptocurrencies Intraday High-Frequency Volatility Spillover Effects Using Univariate and Multivariate GARCH Models," IJFS, MDPI, vol. 10(3), pages 1-22, July.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Faheem Aslam & Paulo Ferreira & Khurrum Shahzad Mughal & Beenish Bashir, 2021. "Intraday Volatility Spillovers among European Financial Markets during COVID-19," IJFS, MDPI, vol. 9(1), pages 1-19, January.
    2. Li, Hong, 2020. "Volatility spillovers across European stock markets under the uncertainty of Brexit," Economic Modelling, Elsevier, vol. 84(C), pages 1-12.
    3. Cheng, Tingting & Liu, Fei & Liu, Junli & Yao, Wenying, 2024. "Tail connectedness: Measuring the volatility connectedness network of equity markets during crises," Pacific-Basin Finance Journal, Elsevier, vol. 87(C).
    4. Iwanicz-Drozdowska, Małgorzata & Rogowicz, Karol & Kurowski, Łukasz & Smaga, Paweł, 2021. "Two decades of contagion effect on stock markets: Which events are more contagious?," Journal of Financial Stability, Elsevier, vol. 55(C).
    5. Urom, C. & Ndubuisi, Gideon & Guesmi, K., 2022. "Quantile return and volatility connectedness among Non-Fungible Tokens (NFTs) and (un)conventional asset," MERIT Working Papers 2022-017, United Nations University - Maastricht Economic and Social Research Institute on Innovation and Technology (MERIT).
    6. Vladimir Balash & Alexey Faizliev & Sergei Sidorov & Elena Chistopolskaya, 2021. "Conditional Time-Varying General Dynamic Factor Models and Its Application to the Measurement of Volatility Spillovers across Russian Assets," Mathematics, MDPI, vol. 9(19), pages 1-31, October.
    7. Urom, Christian & Ndubuisi, Gideon & Guesmi, Khaled, 2024. "Global macroeconomic factors and the connectedness among NFTs and (un)conventional assets," Research in International Business and Finance, Elsevier, vol. 71(C).
    8. Mukhriz Izraf Azman Aziz & Norzalina Ahmad & Jin Zichu & Safwan Mohd Nor, 2022. "The Impact of COVID-19 on the Connectedness of Stock Index in ASEAN+3 Economies," Mathematics, MDPI, vol. 10(9), pages 1-22, April.
    9. Shi, Huai-Long & Zhou, Wei-Xing, 2022. "Factor volatility spillover and its implications on factor premia," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
    10. Gong, Jue & Wang, Gang-Jin & Zhou, Yang & Zhu, You & Xie, Chi & Foglia, Matteo, 2023. "Spreading of cross-market volatility information: Evidence from multiplex network analysis of volatility spillovers," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 83(C).
    11. Gong, Xiao-Li & Zhao, Min & Wu, Zhuo-Cheng & Jia, Kai-Wen & Xiong, Xiong, 2023. "Research on tail risk contagion in international energy markets—The quantile time-frequency volatility spillover perspective," Energy Economics, Elsevier, vol. 121(C).
    12. Zaghum Umar & Oluwasegun Babatunde Adekoya & Mariya Gubareva & Sabri Boubaker, 2024. "Returns and volatility connectedness among the Eurozone equity markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(3), pages 3103-3122, July.
    13. Dai, Zhifeng & Zhu, Haoyang, 2023. "Dynamic risk spillover among crude oil, economic policy uncertainty and Chinese financial sectors," International Review of Economics & Finance, Elsevier, vol. 83(C), pages 421-450.
    14. Cui, Jinxin & Maghyereh, Aktham & Goh, Mark & Zou, Huiwen, 2022. "Risk spillovers and time-varying links between international oil and China’s commodity futures markets: Fresh evidence from the higher-order moments," Energy, Elsevier, vol. 238(PB).
    15. Li, Yanshuang & Shi, Yujie & Shi, Yongdong & Yi, Shangkun & Zhang, Weiping, 2023. "COVID-19 vaccinations and risk spillovers: Evidence from Asia-Pacific stock markets," Pacific-Basin Finance Journal, Elsevier, vol. 79(C).
    16. Balcilar, Mehmet & Gabauer, David & Umar, Zaghum, 2021. "Crude Oil futures contracts and commodity markets: New evidence from a TVP-VAR extended joint connectedness approach," Resources Policy, Elsevier, vol. 73(C).
    17. Lastrapes, William D. & Wiesen, Thomas F.P., 2021. "The joint spillover index," Economic Modelling, Elsevier, vol. 94(C), pages 681-691.
    18. Zhou, Xiaoran & Enilov, Martin & Parhi, Mamata, 2024. "Does oil spin the commodity wheel? Quantile connectedness with a common factor error structure across energy and agricultural markets," Energy Economics, Elsevier, vol. 132(C).
    19. Dai, Zhifeng & Zhang, Xiaotong & Yin, Zhujia, 2023. "Extreme time-varying spillovers between high carbon emission stocks, green bond and crude oil: Evidence from a quantile-based analysis," Energy Economics, Elsevier, vol. 118(C).
    20. Kangogo, Moses & Volkov, Vladimir, 2022. "Detecting signed spillovers in global financial markets: A Markov-switching approach," International Review of Financial Analysis, Elsevier, vol. 82(C).

    More about this item

    Keywords

    Volatility spillovers; Realised volatility; Quantile regression; Network analysis; Financial uncertainty;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:ecosys:v:48:y:2024:i:2:s0939362524000050. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: https://edirc.repec.org/data/osteide.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.