Volatility transmission between stock and foreign exchange markets: a connectedness analysis
Author:
Affiliation:
1. Department of Quantitative Methods in Economics, Universidad de Las Palmas de Gran Canaria, Las Palmas de Gran Canaria, Spain
2. Complutense Institute for International Studies, Universidad Complutense de Madrid, Madrid, Spain
Publisher
Informa UK Limited
Subject
Economics and Econometrics
Link
https://www.tandfonline.com/doi/pdf/10.1080/00036846.2019.1683143
Reference56 articles.
1. Systemic Risk and Stability in Financial Networks
2. Exposure to Currency Risk: Definition and Measurement
3. Adrian, T., and M. Brunnermeier. 2008. CoVaR. Staff Report 348. New York: Federal Reserve Bank of New York.
4. Systemic sovereign credit risk: Lessons from the U.S. and Europe
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