Contagion among European financial indices, evidence from a quantile VAR approach-Reference-Cited by-同舟云学术

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Contagion among European financial indices, evidence from a quantile VAR approach

Published:2024-06 Issue:2 Volume:48 Page:101183
ISSN:0939-3625
Container-title:Economic Systems
language:en
Short-container-title:Economic Systems

Author:

Palomba Giulio,Tedeschi Marco^ORCID

Publisher

Elsevier BV

Reference93 articles.

1. NetVIX—A network volatility index of financial markets;Ahelegbey;Phys. A: Stat. Mech. its Appl.,2022

2. Financial contagion;Allen;J. Polit. Econ.,2000

3. Efficiency of the financial markets during the COVID-19 crisis: time-varying parameters of fractional stable dynamics;Ammy-Driss;Phys. A: Stat. Mech. Appl.,2023

4. Cryptocurrencies intraday high-frequency volatility spillover effects using univariate and multivariate garch models;Ampountolas;Int. J. Financ. Stud.,2022

5. Answering the skeptics: yes, standard volatility models do provide accurate forecasts;Andersen;Int. Econ. Rev.,1998

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