Does the US stock market information matter for European equity market volatility : a multivariate perspective?
Year of publication: |
2022
|
---|---|
Authors: | Tang, Yusui ; Ma, Feng ; Wahab, M. I. M. ; Wei, Yu |
Published in: |
Applied economics. - New York, NY : Routledge, ISSN 1466-4283, ZDB-ID 1473581-7. - Vol. 54.2022, 58, p. 6726-6743
|
Subject: | DCC-GARCH | European market | multivariate HAR-RV-type model | US market | Volatility forecasting | Schätzung | Estimation | Volatilität | Volatility | Börsenkurs | Share price | Aktienmarkt | Stock market | EU-Staaten | EU countries | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Europa | Europe |
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