Intra-daily volatility spillovers between the US and German stock markets
Year of publication: |
2012
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Authors: | Golosnoy, Vasyl ; Gribisch, Bastian ; Liesenfeld, Roman |
Institutions: | Institut für Volkswirtschaftslehre, Christian-Albrechts-Universität Kiel |
Subject: | Conditional autoregressive Wishart model | Impulse response analysis | Observationdriven models | Realized covariance matrix | Subprime crisis |
Extent: | application/pdf |
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Series: | Economics Working Papers. - ISSN 2193-2476. |
Type of publication: | Book / Working Paper |
Notes: | Number 2012-06 |
Classification: | C32 - Time-Series Models ; c58 ; G17 - Financial Forecasting |
Source: |
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Intra-daily volatility spillovers between the US and German stock markets
Golosnoy, Vasyl, (2012)
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Intra-daily volatility spillovers in international stock markets
Golosnoy, Vasyl, (2015)
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Intra-daily volatility spillovers in international stock markets
Golosnoy, Vasyl, (2015)
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The conditional autoregressive wishart model for multivariate stock market volatility
Golosnoy, Vasyl, (2010)
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The conditional autoregressive Wishart model for multivariate stock market volatility
Golosnoy, Vasyl, (2012)
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The conditional autoregressive wishart model for multivariate stock market volatility
Golosnoy, Vasyl, (2010)
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