Frequency domain causality analysis of intra- and inter-regional return and volatility spillovers of South-East European (SEE) stock markets
Mustafa Özer, Sandra Kamenković & Zoran Grubišić
| Year of publication: |
2020
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|---|---|
| Authors: | Özer, Mustafa ; Kamenković, Sandra ; Grubišić, Zoran |
| Published in: |
Economic research. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1331-677X, ZDB-ID 2171828-3. - Vol. 33.2020, 1,1, p. 1-25
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| Subject: | Return and volatility spillovers | frequency domain causality | granger causality | South-East Europe | Volatilität | Volatility | Kausalanalyse | Causality analysis | Spillover-Effekt | Spillover effect | Südosteuropa | Southeastern Europe | Kapitaleinkommen | Capital income | Börsenkurs | Share price | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1331677X.2019.1699138 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013173475