Before revision: As a response to the Great Recession, many central banks resorted to unconventional monetary policies , in the form of a balance sheet expansion. Our research aims at analyzing the impact of the ECB policies on stock market volatility in four Eurozone countries (France, Germany, Italy, and Spain)within the Multiplicative Error Model framework.
After revision: Taking the European Central Bank unconventional policies as a reference, we suggest a class of Multiplicative Error Models (MEM) taylored to analyze the impact such policies have on stock market volatility in four Eurozone countries (France, Germany, Italy, and Spain)within the Multiplicative Error Model framework.