Listar INARBE - Institute for Advanced Research in Business and Economics por tema "Total connectedness"
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Guarantee requirements by European central counterparties and international volatility spillovers
(JAI Press, 2022) Artículo / ArtikuluaThis analysis addressed the potential systemic effects of guarantee requirements by central counterparties. Using data from the Spanish BME and German Eurex central clearing counterparties and controlling for tail risk and ... -
Spillover dynamics effects between risk-neutral equity and treasury volatilities
Macro-finance asset pricing models provide a rationale for connectedness dynamics between equity and Treasury risk-neutral volatilities. In this paper, we study the total and directional connectedness, in the sense of ...