Brexit and Uncertainty in Financial Markets

Brexit and Uncertainty in Financial Markets

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)...

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Bibliographic Details
Main Authors: Guglielmo Maria Caporale, Luis Gil-Alana, Tommaso Trani
Format: Article
Language:English
Published: MDPI AG 2018-02-01
Series:International Journal of Financial Studies
Subjects:
Brexit
uncertainty
IVI index
British pound’s implied volatilities
financial markets
Online Access:http://www.mdpi.com/2227-7072/6/1/21

Internet

http://www.mdpi.com/2227-7072/6/1/21

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