Structural breaks and volatility spillovers : the case of the US and Canadian Stock Markets
Year of publication: |
2019
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Authors: | Tsuji, Chikashi |
Published in: |
Journal of management research. - Las Vegas, Nev. : Macrothink Institute, ISSN 1941-899X, ZDB-ID 2531426-9. - Vol. 11.2019, 2, p. 30-44
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Subject: | MGARCH model | spillover | structural break | volatility persistence | Volatilität | Volatility | Strukturbruch | Structural break | Spillover-Effekt | Spillover effect | USA | United States | Kanada | Canada | Aktienmarkt | Stock market | ARCH-Modell | ARCH model | Kapitaleinkommen | Capital income | Schätzung | Estimation | Großbritannien | United Kingdom |
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