A study of linkages between frontier markets and the U.S. equity markets using multivariate GARCH and transfer entropy
Mary Schmid Daugherty, Thadavillil Jithendranathan
| Year of publication: |
December 2015
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|---|---|
| Authors: | Daugherty, Mary Schmid ; Jithendranathan, Thadavillil |
| Published in: |
Journal of multinational financial management. - Amsterdam [u.a.] : North-Holland, ISSN 1042-444X, ZDB-ID 1117284-8. - Vol. 32/33.2015, p. 95-115
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| Subject: | Frontier markets | Transfer entropy | Dynamic conditional correlation | Contagion | Housing market crisis | European debt crisis | Entropie | Entropy | ARCH-Modell | ARCH model | Aktienmarkt | Stock market | Finanzkrise | Financial crisis | Korrelation | Correlation | Schwellenländer | Emerging economies | USA | United States | Börsenkurs | Share price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.mulfin.2015.10.003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011540118