Return and volatility connectedness and net directional patterns in spillover transmissions : East and Southeast Asian equity markets
Year of publication: |
2024
|
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Authors: | Mateus, Cesario ; Bagirov, Miramir ; Mateus, Irina Bezhentseva |
Published in: |
International review of finance : the official journal of the Asia Pacific Finance Association and the Nippon Finance Association. - Oxford [u.a.] : Wiley-Blackwell, ISSN 1468-2443, ZDB-ID 2034475-2. - Vol. 24.2024, 1, p. 83-103
|
Subject: | Asian markets | contagion | COVID-19 | directional return spillovers | financial crisis | market integration | market linkage | return connectedness | vector autoregression | Spillover-Effekt | Spillover effect | Finanzkrise | Financial crisis | Kapitaleinkommen | Capital income | Marktintegration | Market integration | Ostasien | East Asia | Aktienmarkt | Stock market | Volatilität | Volatility | Internationaler Finanzmarkt | International financial market | Asien | Asia | Südostasien | Southeast Asia | VAR-Modell | VAR model | Ansteckungseffekt | Contagion effect | Schätzung | Estimation |
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