Quantifying the volatility spillover dynamics between financial stress and US financial sectors: Evidence from QVAR connectedness
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DOI: 10.1016/j.irfa.2024.103434
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Keywords
Global financial stress; Quantile connectedness; Volatility spillovers;All these keywords.
JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G20 - Financial Economics - - Financial Institutions and Services - - - General
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
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