Analysis of spillover effects between stock market volatility and macroeconomic volatility using GARCH-MIDAS model
Young Im Lee, Jin Lee
| Year of publication: |
August 31, 2018
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| Authors: | Lee, Young Im ; Lee, Jin |
| Published in: |
Journal of economic research. - Seoul, ISSN 1226-4261, ZDB-ID 1409101-X. - Vol. 23.2018, 2 (31.8.), p. 109-130
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| Subject: | Volatility Spillover | Low Frequency | High frequency | GARCH-MIDAS | Volatilität | Volatility | Spillover-Effekt | Spillover effect | Börsenkurs | Share price | Aktienmarkt | Stock market | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011904106