Illiquidity and volatility spillover effects in equity markets during and after the global financial crisis : an MEM approach
Yongdeng Xu, Nick Taylor, Wenna Lu
| Year of publication: |
2018
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|---|---|
| Authors: | Xu, Yongdeng ; Taylor, Nicholas ; Lu, Wenna |
| Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 56.2018, p. 208-220
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| Subject: | Illiquidity spillover | Multiplicative error model | Volatility spillover | Finanzkrise | Financial crisis | Volatilität | Volatility | Spillover-Effekt | Spillover effect | Aktienmarkt | Stock market | ARCH-Modell | ARCH model | Marktliquidität | Market liquidity | Schätzung | Estimation |