Emerging stock market volatility and economic fundamentals: the importance of US uncertainty spillovers, financial and health crises

This paper studies the US and global economic fundamentals that exacerbate emerging stock markets volatility and can be considered as systemic risk factors increasing financial stability vulnerabilities. We apply the bivariate HEAVY system of daily and intra-daily volatility equations enriched with...

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Bibliographic Details
Main Authors: Menelaos Karanasos, Stavroula Yfanti, John Hunter
Format: Default Article
Published: 2021
Subjects:
Economic policy uncertainty
Emerging markets
Financial and health crises
Macro-financial linkages
Realized variance
Uncertainty spillovers
Online Access:https://hdl.handle.net/2134/16809958.v1
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https://hdl.handle.net/2134/16809958.v1

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