Financial market interdependencies : a quantile regression analysis of volatility spillover
Aymen Ben Rejeb, Mongi Arfaoui
| Year of publication: |
January 2016
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|---|---|
| Authors: | Rejeb, Aymen Ben ; Arfaoui, Mongi |
| Published in: |
Research in international business and finance. - Amsterdam [u.a.] : Elsevier, ISSN 0275-5319, ZDB-ID 424514-3. - Vol. 36.2016, p. 140-157
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| Subject: | Market interdependence | Volatility spillovers | Asymmetric interdependence | Contagion | Quantile regression | Volatilität | Volatility | Spillover-Effekt | Spillover effect | Regressionsanalyse | Regression analysis | Internationaler Finanzmarkt | International financial market | Aktienmarkt | Stock market | ARCH-Modell | ARCH model | Ansteckungseffekt | Contagion effect | Schätzung | Estimation | Welt | World | Finanzkrise | Financial crisis | Finanzmarkt | Financial market | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ribaf.2015.09.022 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011594319