Zobrazeno 1 - 5
of 5
pro vyhledávání: '"Demetrio Lacava"'
Publikováno v:
Journal of the Royal Statistical Society Series C: Applied Statistics. 71:1245-1265
Taking the European Central Bank unconventional policies as a reference, we suggest a class of multiplicative error models (MEMs) tailored to analyse the impact such policies have on stock market volatility. The new set of models, called MEM with asy
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::56f798ab2a7dd8bf3a535a6779b4c173
https://doi.org/10.1111/rssc.12574
https://doi.org/10.1111/rssc.12574
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::f160764f9b16db0b8e89fc37c69b3ace
https://doi.org/10.2139/ssrn.4282541
https://doi.org/10.2139/ssrn.4282541
Publikováno v:
Journal of Risk and Financial Management
Volume 14
Issue 6
Journal of Risk and Financial Management, Vol 14, Iss 242, p 242 (2021)
Volume 14
Issue 6
Journal of Risk and Financial Management, Vol 14, Iss 242, p 242 (2021)
In a context characterized by an increasing integration among financial markets, we aim to analyze whether the ECB unconventional monetary policy shields the Eurozone stock markets against spillovers of volatility from the US stock market. We augment
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::cefd133d6155748520d13e674103bacc
https://hdl.handle.net/10419/239658
https://hdl.handle.net/10419/239658
The financial turmoil surrounding the Great Recession called for unprecedented intervention by Central Banks: unconventional policies affected various areas in the economy, including stock market volatility. In order to evaluate such effects, by incl
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::4a39575ce3df54caa0d8b24c7b0921aa
http://arxiv.org/abs/2011.14094
http://arxiv.org/abs/2011.14094
Publikováno v:
SSRN Electronic Journal.
As a response to the Great Recession, many central banks resorted to unconventional monetary policies, in the form of a balance sheet expansion. Our research aims at analyzing the impact of the ECB policies on stock market volatility in four Eurozone
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::6b0bae18073b98278d9973e57f60b1c1
https://doi.org/10.2139/ssrn.3712995
https://doi.org/10.2139/ssrn.3712995