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~isPartOf:"Tinbergen Institute Discussion Paper"
~subject:"Spillover-Effekt"
~type:"book"
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stochastic volatility
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1
Risk Modelling and Management: An Overview
Chang, Chia-Lin
;
Allen, David E.
;
McAleer, Michael
; …
-
2013
,
volatility
spillovers from the Chinese stock market to economic neighbours, a detailed comparison of Value-at-Risk estimates, the …
Persistent link: https://www.econbiz.de/10010326135
Saved in:
2
Herding, Information Cascades and
Volatility
Spillovers in Futures Markets
McAleer, Michael
;
Radalj, Kim
-
2013
both current and past market returns. Using various time-varying
volatility
models to accommodate conditional … causality-in-variance is used to analyse if
volatility
among small traders spills over into spot markets, it is found that …
Persistent link: https://www.econbiz.de/10010326188
Saved in:
3
Volatility
Spillovers from the US to Australia and China across the GFC
Allen, David E.
;
McAleer, Michael
;
Powell, R.J.
;
Singh, A.K.
-
2013
This paper features an analysis of
volatility
spillover effects from the US market, represented by the S&P500 index to …-mean equation to model the conditional mean in the Australian markets plus an ARMA model to capture
volatility
spillovers from the …
Persistent link: https://www.econbiz.de/10010326245
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