Contagion among European financial indices, evidence from a quantile VAR approach
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DOI: 10.1016/j.ecosys.2024.101183
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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
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