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

DOI10.1007/S10479-022-04523-8MaRDI QIDQ6148797

Niklas F. Wagner, Harald Kinateder, Tonmoy Choudhury, Jonathan A. Batten

Publication date: 8 February 2024

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

zbMATH Keywords

implied volatilityEuropeZika virusCOVID-19DCC-GARCHglobal systemically important banksGFCswine flu (H1N1)

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)

Related Items (1)

The dynamic volatility connectedness of major environmental, social, and governance (ESG) stock indices: evidence based on DCC-GARCH model

Cites Work

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

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