The impact of disruptive technology on banking under switching volatility regimes
This paper uses the case of Spain to investigate whether and how disruptive technology impacts banking stock returns under a high volatility regime and a low volatility regime. For this purpose, a two-factor model with heteroscedastic Markov switching regimes has been applied. The results indicate...
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Vilnius Gediminas Technical University
2023-08-01
|
| Series: | Technological and Economic Development of Economy |
| Subjects: | |
| Online Access: | https://jbem.vgtu.lt/index.php/TEDE/article/view/18976 |