Volatility spillovers across European stock markets around the Brexit referendum
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Cited by:
- Ding, Zhihua & Liu, Zhenhua & Zhang, Yuejun & Long, Ruyin, 2017. "The contagion effect of international crude oil price fluctuations on Chinese stock market investor sentiment," Applied Energy, Elsevier, vol. 187(C), pages 27-36.
- Yong Jiang & Yi-Shuai Ren & Chao-Qun Ma & Jiang-Long Liu & Basil Sharp, 2018. "Does the price of strategic commodities respond to U.S. Partisan Conflict?," Papers 1810.08396, arXiv.org, revised Feb 2020.
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More about this item
Keywords
Market risk; Stock market; Spillover effect; Vector autoregression; and Variance decomposition.;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-EEC-2016-12-18 (European Economics)
- NEP-FMK-2016-12-18 (Financial Markets)
- NEP-NET-2016-12-18 (Network Economics)
- NEP-RMG-2016-12-18 (Risk Management)
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