The Incidence of Spillover Effects during the Unconventional Monetary Policies Era

The Incidence of Spillover Effects during the Unconventional Monetary Policies Era

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 the Markov switching Asymmetric Multiplicative Er...

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Bibliographic Details
Main Authors: Demetrio Lacava, Luca Scaffidi Domianello
Format: Article
Language:English
Published: MDPI AG 2021-05-01
Series:Journal of Risk and Financial Management
Subjects:
realized volatility
spillover effects
unconventional monetary policy
multiplicative error model
Markov switching
Online Access:https://www.mdpi.com/1911-8074/14/6/242

Internet

https://www.mdpi.com/1911-8074/14/6/242

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