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K. Mazouz

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Open access Sep 2026

Tail Connectedness in European Equity Markets: Regime Persistence and the Role of Geopolitical Risk

Financial networks are typically summarised by a single average-regime connectedness estimate that treats transmission as symmetric across calm and turbulent markets. Using a quantile vector autoregression on nine European equity indices from 2000 to 2026, we show that crash-regime connectedness is not an episodic cris...

Fayçal Djebari, Kahina Mehidi, K. Mazouz · 0 citations

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