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