Intra- and inter-regional return and volatility spillovers across emerging and developed markets : evidence from stock indices and stock index futures
Larisa Yarovaya, Janusz Brzeszczyński, Chi Keung Marco Lau
| Year of publication: |
January 2016
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|---|---|
| Authors: | Yarovaya, Larisa ; Brzeszczyński, Janusz ; Lau, Chi Keung |
| Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 43.2016, p. 96-114
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| Subject: | Generalized VAR | Stock index futures | Information transmission | Volatilität | Volatility | Aktienindex | Stock index | Index-Futures | Index futures | Spillover-Effekt | Spillover effect | Kapitaleinkommen | Capital income | Börsenkurs | Share price | Schwellenländer | Emerging economies | Schätzung | Estimation | ARCH-Modell | ARCH model | Großbritannien | United Kingdom |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.irfa.2015.09.004 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011623719