Return and volatility spillover among banks and insurers : evidence from pre-crisis and crisis periods
Year of publication: |
August 2015
|
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Authors: | Elyasiani, Elyas ; Kalotychou, Elena ; Staikouras, Sotiris K. ; Zhao, Gang |
Published in: |
Journal of financial services research : JFSR. - Dordrecht [u.a.] : Springer Science + Business Media Inc., ISSN 0920-8550, ZDB-ID 1027136-3. - Vol. 48.2015, 1, p. 21-52
|
Subject: | Banks | Insurers | Spillover | Contagion | Multivariate GARCH | Crisis | Volatilität | Volatility | Spillover-Effekt | Spillover effect | Finanzkrise | Financial crisis | Bank | ARCH-Modell | ARCH model | Schätzung | Estimation | Versicherung | Insurance | Ansteckungseffekt | Contagion effect | Bankenkrise | Banking crisis | Kapitaleinkommen | Capital income |
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