Asymmetric connectedness on the U.S. stock market : bad and good volatility spillovers
Year of publication: |
January 2016
|
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Authors: | Baruník, Jozef ; Kočenda, Evžen ; Vácha, Lukáš |
Published in: |
Journal of financial markets. - Amsterdam [u.a.] : Elsevier, ISSN 1386-4181, ZDB-ID 1402747-1. - Vol. 27.2016, p. 55-78
|
Subject: | Volatility | Spillovers | Semivariance | Asymmetric effects | Financial markets | USA | United States | Spillover-Effekt | Spillover effect | Volatilität | Aktienmarkt | Stock market | Theorie | Theory | Finanzmarkt | Financial market | ARCH-Modell | ARCH model | Kapitaleinkommen | Capital income | Schätzung | Estimation |
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