Measuring time-varying financial market integration : an unobserved components approach
Year of publication: |
2013
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Authors: | Berger, Tino ; Pozzi, Lorenzo |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 37.2013, 2, p. 463-473
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Subject: | Financial markets | Integration | Factor model | Unobserved component | GARCH | Schätzung | Estimation | Finanzmarkt | Financial market | ARCH-Modell | ARCH model | Marktintegration | Market integration | Zeitreihenanalyse | Time series analysis | Theorie | Theory | Kointegration | Cointegration | Volatilität | Volatility | EU-Staaten | EU countries |
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