Investigating volatility transmission across international equity markets using multivariate fractional models
Foued Saâdaoui and Imen Ghadhab
| Year of publication: |
2023
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|---|---|
| Authors: | Saâdaoui, Foued ; Ghadhab, Imen |
| Published in: |
International transactions in operational research : a journal of the International Federation of Operational Research Societies. - Oxford : Wiley-Blackwell, ISSN 1475-3995, ZDB-ID 2019815-2. - Vol. 30.2023, 5, p. 2139-2157
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| Subject: | fractional co-integration | long range dependence | multivariate fractional models | multivariate GARCH | predictability | volatility transmission | Volatilität | Volatility | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | Multivariate Analyse | Multivariate analysis | Börsenkurs | Share price | Theorie | Theory | Aktienmarkt | Stock market |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1111/itor.12894 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014259113