Volatility impacts on the European banking sector: GFC and COVID-19

DOI10.1007/S10479-022-04523-8MaRDI QIDQ6148797zbMATH OpenFDO

Authors Jonathan Batten, Tonmoy Choudhury, Harald Kinateder, N. Wagner

Publication date 8 February 2024

Published in Annals of Operations Research (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/S10479-022-04523-8

zbMATH Keywords

COVID-19DCC-GARCHEuropeGFCglobal systemically important banksimplied volatilityswine flu (H1N1)Zika virus

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial networks (including contagion, systemic risk, regulation) (91G45)

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Cites work

• Dynamic integration and network structure of the EMU sovereign bond markets
• Generalized autoregressive conditional heteroscedasticity

Cited in

(3)

• The dynamic volatility connectedness of major environmental, social, and governance (ESG) stock indices: evidence based on DCC-GARCH model
• Carbon trading and COVID-19: a hybrid machine learning approach for international carbon price forecasting
• Connectedness spillover matrices : a tool for diversification

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