Modelling stock volatilities during financial crises : a time varying coefficient approach
Menelaos Karanasos; Alexandros G. Paraskevopoulos; Faek Menla Ali; Michail Karoglou; Stavroula Yfanti
| Year of publication: |
2014
|
|---|---|
| Authors: | Karanasos, Menelaos ; Paraskevopoulos, Alexandros G. ; Ali, Faek Menla ; Karoglou, Michail ; Yfanti, Stavroula |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 29.2014, p. 113-128
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| Subject: | Financial crisis | Time varying GARCH models | Structural breaks | Volatility spillovers | Volatilität | Volatility | ARCH-Modell | ARCH model | Finanzkrise | Strukturbruch | Structural break | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | Spillover-Effekt | Spillover effect | Aktienmarkt | Stock market | Welt | World | Kapitaleinkommen | Capital income | Finanzmarkt | Financial market |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011300501