Sep 2026· International Journal of Financial Studies· 0 citations· 43 references
Abstract
Financial networks are typically summarised by a single average-regime connectedness estimate that treats transmission as symmetric across calm and turbulent markets. Using a quantile vector autoregression on nine European equity indices from 2000 to 2026, we show that crash-regime connectedness is not an episodic crisis response but a persistent premium over the normal regime, holding steady across nearly six thousand rolling windows. We introduce Geopolitical Risk Realised Volatility, a within-month measure of geopolitical risk dispersion distinct from its level, and show that it predicts a delayed, statistically robust decoupling of tail connectedness, modest in magnitude and specific to the crash regime, that adds information beyond GPR Act’s level alone. A quantile-specific structural break test shows that the Brexit referendum permanently shifted the United Kingdom’s net shock-transmission position within the European equity network. These shocks affect connectedness only in the crash regime, a pattern an average-regime estimate does not capture.
This study examines systemic connectedness and risk spillovers in the capital markets of Caribbean Rim countries using a Quantile Vector Autoregression (QVAR) framework and weekly equity returns from five economies (the U.S., Mexico, Jamaica, Colombia, and Venezuela) over 2019–2025. Unlike mean-based models, QVAR effec...
Wei Jiang, He-Ming Guan, Xuan Yu et al.· Systems· 0 citations
This study aims to investigate the dynamic interconnectedness and risk transmission mechanisms among major global equity indices over a comprehensive period (1997–2024). By spanning nearly three decades, the research distinguishes how systemic risk propagates during both financial and non-financial global crises....
Ejup Fejza, Florin Aliu, Kestrim Avdimetaj et al.· Studies in Economics and Fin...· 0 citations
This paper examines how trade policy uncertainty (TPU) affects risk transmission in global foreign exchange markets.
Using daily data for 20 major currencies from 2005 to 2025, we combine autoregressive exponential generalized autoregressive conditional heteroskedasticity with generalized error distribution...
Qiang Liu, Zhen-Wei Xu, Chen Xu et al.· International Journal of Eme...· 0 citations
This study examines the effects of macroeconomic uncertainty and market-specific shocks on the dynamics of returns and volatility in feeder cattle, live cattle, and lean hog futures markets. Additionally, the study explores whether volatility transmission varies within and across livestock production systems. We employ...
Faruk Urak, Gürkan Bozma, Mehmet Selim Yıldız et al.· Agricultural and Food Econom...· 0 citations
This study examines the predictive capacity of the Financial Stress Index (FSI) for major digital asset categories - Bitcoin, DeFi tokens, and NFT tokens - across bearish, normal, and bullish market regimes.
We deploy a rolling-window wavelet quantile Granger causality (RWWQGC) framework capturing time varia...
P. Tran, Hưng Thái Ngô· Digital Transformation and S...· 0 citations
We use cookies to run the site and, with your consent, for analytics and to show ads.
See our Cookie Policy.
