Investigating the volatility spillover effect between derivative markets and spot markets via the wavelets : the case of Borsa İstanbul
Year of publication: |
2022
|
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Authors: | Gürbüz, Süleyman ; Şahbaz, Ahmet |
Published in: |
Borsa Istanbul Review. - Amsterdam [u.a.] : Elsevier, ISSN 2214-8450, ZDB-ID 2745445-9. - Vol. 22.2022, 2, p. 321-331
|
Subject: | Borsa İstanbul | Derivatives markets | Futures contracts | M-GARCH | Volatility spillover effect | Wavelets | Volatilität | Volatility | Derivat | Derivative | Spillover-Effekt | Spillover effect | ARCH-Modell | ARCH model | Zustandsraummodell | State space model | Spotmarkt | Spot market |
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