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dc.creatorCaporale, G.M. (Guglielmo M.)-
dc.creatorGil-Alana, L.A. (Luis A.)-
dc.creatorTrani, T. (Tommaso)-
dc.date.accessioned2022-10-19T10:14:08Z-
dc.date.available2022-10-19T10:14:08Z-
dc.date.issued2018-
dc.identifier.citationCaporale, 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 - 29es_ES
dc.identifier.issn2227-7072-
dc.identifier.urihttps://hdl.handle.net/10171/64509-
dc.description.abstractThis 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.sponsorshipThe 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: Alles_ES
dc.language.isospaes_ES
dc.publisherMDPI AGes_ES
dc.rightsinfo:eu-repo/semantics/openAccesses_ES
dc.subjectBrexites_ES
dc.subjectUncertaintyes_ES
dc.subjectIVI indexes_ES
dc.subjectBritish pound’s implied volatilitieses_ES
dc.subjectFinancial marketses_ES
dc.titleBrexit and uncertainty in financial marketses_ES
dc.typeinfo:eu-repo/semantics/articlees_ES
dc.description.noteThis 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.doi10.3390/ijfs6010021-
dadun.citation.endingPage29es_ES
dadun.citation.number1es_ES
dadun.citation.publicationNameInternational journal of financial studieses_ES
dadun.citation.startingPage21es_ES
dadun.citation.volume6es_ES

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