On the macro-drivers of realized volatility: the destabilizing impact of UK policy uncertainty across Europe

This paper studies the bivariate HEAVY system of daily and intra-daily volatility equations and its macro-augmented asymmetric power extension. We focus on economic drivers that exacerbate stock market volatility and can be proved to be major threats for financial stability. Our study proves the inf...

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Bibliographic Details
Main Authors: Menelaos Karanasos, Stavroula Yfanti
Format: Default Article
Published: 2020
Online Access:https://hdl.handle.net/2134/11913684.v1
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