Projects funded by the NCN
Financial markets spillovers in times of elevated uncertainty.
2021/43/D/HS4/00380
Keywords:
financial markets time series models spillovers contagion effects market co-movements COVID-19 uncertainty.
Descriptors:
- HS4_006:
- HS4_003:
- HS4_013:
Panel:
HS4 - Individuals, institutions, markets: economics, finance, management, demography, social and economic geography, urban studies
Host institution :
Szkoła Główna Handlowa w Warszawie, Kolegium Analiz Ekonomicznych
woj. mazowieckie
Principal investigator (from the host institution):
Number of co-investigators in the project: 2
Call: SONATA 17 - announced on 2021-09-15
Amount awarded: 240 828 PLN
Project start date (Y-m-d): 2022-06-24
Project end date (Y-m-d): 2025-06-23
Project duration:: 36 months (the same as in the proposal)
Project status: Project completed
Project description
Download the project description in a pdf file
Note - project descriptions were prepared by the authors of the applications themselves and placed in the system in an unchanged form.
Information in the final report
- Publication in academic press/journals (2)
- Which Uncertainty Measure is Most Informative? A Time-varying Connectedness PerspectiveAuthors:Karol Szafranek, Michał Rubaszek, Gazi Salah UddinAcademic press:Econometric Research in Finance (rok: 2023, tom: 8, strony: 45687), Wydawca: SciendoStatus:PublishedDOI:10.33119/ERFIN.2023.8.1.1 - link to the publication
- The role of uncertainty and sentiment for intraday volatility connectedness between oil and financial marketsAuthors:Karol Szafranek, Michał Rubaszek, Gazi Salah UddinAcademic press:Energy Economics (rok: 2024, tom: 137, strony: 107760), Wydawca: ElsevierStatus:PublishedDOI:10.1016/j.eneco.2024.107760 - link to the publication