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This paper analyses the volatility transmission between European Global Systemically Important Banks (GSIBs) and implied stock market volatility. A Dynamic Conditional Correlation Generalized Autoregressive Conditional Heteroskedasticity model is applied to determine the dynamic correlation between returns of Europe's GSIBs and the world's most prominent measure of market "fear", the CBOE Volatility Index (VIX). The results identify a higher negative co-relationship between the VIX and GSIB returns during the COVID-19 period compared with the Global Financial Crisis (GFC), with one-day lagged changes in the VIX negatively Granger-causing bank returns. The asymmetric impact of changes in implied volatility is examined by quantile regressions, with the findings showing that in the lower quartile–where extreme negative bank returns are present–jumps in the VIX are highly significant. This effect is more pronounced during COVID-19 than during the GFC. Additional robustness analysis shows that these findings are consistent during the periods of the Swine Flu and Zika virus epidemics. [ABSTRACT FROM AUTHOR]

Historical masonry arch bridges constitute the backbone of many existing transportation networks in different countries in Europe and worldwide. They represent valuable cultural heritage assets and play an essential social and economic role. Since construction, old masonry bridges have accumulated structural damage from traffic and environmental actions. Furthermore, depending on their geometrical and mechanical characteristics, they may be particularly vulnerable to extreme events like earthquakes. Thus, accurate structural assessment under different loading conditions is critical for the conservation of these structures. Realistic assessment requires suitable numerical models to represent the characteristic 3D behaviour. The complexity of this task is further compounded by the practical difficulty in obtaining essential information on the internal bridge structure and the masonry mechanical parameters, which are vital to achieve accurate response predictions against service and extreme actions. This paper presents an advanced calibration procedure for a refined macroscale bridge model, allowing for the anisotropic nature of the masonry material. The proposed calibration approach is applied to an actual multi-span masonry viaduct, where sonic, ultrasonic, and ground penetrating radar tests are conducted to investigate the internal structure of the viaduct and determine the elastic properties of the masonry materials. In addition, the dynamic characteristics of the bridge are evaluated through in-situ measurements under environmental vibrations and used for model validation. The results from a standard simplified model calibration and an enhanced calibration are compared considering the vibration modes of the bridge. Simplified calibration is carried out using the results from in-situ tests, while a statistic inference procedure and numerical optimisation are adopted in the refined calibration to achieve improved accuracy. Although the paper focuses on a specific case study, the adopted methodology can be easily applied to studying other masonry bridges and cultural heritage masonry structures. • An advanced calibration procedure for a refined bridge macroscale model is presented. • The proposed calibration approach is applied to a multi-span masonry viaduct. • In-situ non-destructive tests are used to evaluate the internal structure of the bridge and the elastic material parameters. [ABSTRACT FROM AUTHOR]

This paper analyzes the dynamics of pair comovements between different domestic European stock market returns (Spain, France, Germany, Switzerland and the United Kingdom) seeking to check whether there is a unique source of risk driving those dynamics. Once it is shown that the comovements are time-varying, the question is to find whether a global index such as the Euro Stoxx can be considered the main source of risk. To that end we estimate and test for time-varying global pair covariances and for time-varying remaining pair covariances once the effect of the Euro Stoxx is removed. The empirical results are obtained considering locally stationary variables, a family that includes variables with first and second time-varying moments. Under that framework time-varying means and covariances can be estimated using a spline-based procedure and Wald-type statistics can be computed to test for time-variations. A simulation study shows that the role of the mean estimation part is crucial to the good performance of the tests for second moments. The empirical results evidence that all global pair covariances for the European countries analyzed are time-varying, but also that the Euro Stoxx can be considered as the driving source of risk for these time-varying dynamics. This conclusion is very useful for modeling purpose and financial strategies. Finally, we repeat the analysis considering the Nasdaq as an alternative global index and find that it explains only a small part of the dynamics in the European pair comovements. [ABSTRACT FROM AUTHOR]