Registro completo de metadatos
Campo DC | Valor | Lengua/Idioma |
---|---|---|
dc.creator | Caporale, G.M. (Guglielmo M.) | - |
dc.creator | Gil-Alana, L.A. (Luis A.) | - |
dc.creator | Trani, T. (Tommaso) | - |
dc.date.accessioned | 2022-10-19T10:14:08Z | - |
dc.date.available | 2022-10-19T10:14:08Z | - |
dc.date.issued | 2018 | - |
dc.identifier.citation | Caporale, G.M. (Guglielmo M.); Gil-Alana, L.A. (Luis A.); Trani, T. (Tommaso). "Brexit and uncertainty in financial markets". International journal of financial studies. 6 (1), 2018, 21 - 29 | es_ES |
dc.identifier.issn | 2227-7072 | - |
dc.identifier.uri | https://hdl.handle.net/10171/64509 | - |
dc.description.abstract | This paper applies long-memory techniques (both parametric and semi-parametric) to examine whether Brexit has led to any significant changes in the degree of persistence of the FTSE (Financial Times Stock Index) 100 Implied Volatility Index (IVI) and of the British pound’s implied volatilities (IVs) vis-à-vis the main currencies traded in the FOREX (foreign exchange market), namely the euro, the US dollar and the Japanese yen. We split the sample to compare the stochastic properties of the series under investigation before and after the Brexit referendum, and find an increase in the degree of persistence in all cases except for the British pound-yen IV, whose persistence has declined after Brexit. These findings highlight the importance of completing swiftly the negotiations with the European Union (EU) to achieve an appropriate Brexit deal. | es_ES |
dc.description.sponsorship | The second- and third-named authors gratefully acknowledge the financial support received from the Ministerio de Economía y Competitividad: ECO2014-55236 (Luis Alberiko Gil-Alana) and ECO2015-68815-P (Tommaso Trani). Comments from the Editor and two anonymous reviewers are gratefully acknowledged. Author Contributions: All | es_ES |
dc.language.iso | spa | es_ES |
dc.publisher | MDPI AG | es_ES |
dc.rights | info:eu-repo/semantics/openAccess | es_ES |
dc.subject | Brexit | es_ES |
dc.subject | Uncertainty | es_ES |
dc.subject | IVI index | es_ES |
dc.subject | British pound’s implied volatilities | es_ES |
dc.subject | Financial markets | es_ES |
dc.title | Brexit and uncertainty in financial markets | es_ES |
dc.type | info:eu-repo/semantics/article | es_ES |
dc.description.note | This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license (http://creativecommons.org/licenses/by/4.0/). | es_ES |
dc.identifier.doi | 10.3390/ijfs6010021 | - |
dadun.citation.endingPage | 29 | es_ES |
dadun.citation.number | 1 | es_ES |
dadun.citation.publicationName | International journal of financial studies | es_ES |
dadun.citation.startingPage | 21 | es_ES |
dadun.citation.volume | 6 | es_ES |
Ficheros en este ítem:
Estadísticas e impacto
Los ítems de Dadun están protegidos por copyright, con todos los derechos reservados, a menos que se indique lo contrario.