Detecting nonlinear dependencies in eurozone peripheral equity markets : a multistep filtering approach
Christos Avdoulas, Stelios Bekiros, Sabri Boubaker
| Year of publication: |
November 2016
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| Authors: | Avdoulas, Christos ; Bekiros, Stelios ; Boubaker, Sabri |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 58.2016, p. 580-587
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| Subject: | Nonlinear filtering | Multivariate GARCH | Spillovers | PIIGS markets | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | Spillover-Effekt | Spillover effect | Aktienmarkt | Stock market | Nichtlineare Regression | Nonlinear regression | Eurozone | Euro area | Theorie | Theory | Volatilität | Volatility | Schätzung | Estimation | Zustandsraummodell | State space model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econmod.2016.02.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011647569