Bidirectional volatility spillover effect between the exchange rate and stocks in the presence of structural breaks in selected Eastern European economies
Dejan Živkov (Business School of Novi Sad and University of Novi Sad, Serbia), Jovan Njegić (Business School of Novi Sad and University of Novi Sad, Serbia), Ivan Milenković (University of Novi Sad, Faculty of Economics Subotica, Serbia)
| Year of publication: |
2015
|
|---|---|
| Authors: | Živkov, Dejan ; Njegić, Jovan ; Milenković, Ivan |
| Published in: |
Finance a úvěr. - Praha : Datakonekt, ISSN 0015-1920, ZDB-ID 860318-2. - Vol. 65.2015, 6, p. 477-498
|
| Subject: | exchange rate | stocks | FIGARCH models | modified ICSS algorithm | Eastern European countries | Volatilität | Volatility | Wechselkurs | Exchange rate | Osteuropa | Eastern Europe | ARCH-Modell | ARCH model | Strukturbruch | Structural break | Börsenkurs | Share price | Spillover-Effekt | Spillover effect |
| 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/10011415785