Modelling volatility during the current financial crisis : an empirical analysis of the US and the UK stock markets
Ioannis A. Tampakoudis; Demetres N. Subeniotis; Ioannis G. Kroustalis
| Year of publication: |
2012
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|---|---|
| Authors: | Tampakoudis, Ioannis A. ; Subeniotis, Demetres N. ; Kroustalis, Ioannis G. |
| Published in: |
International journal of trade and global markets. - Olney : Inderscience, ISSN 1742-7541, ZDB-ID 2444196-X. - Vol. 5.2012, 3/4, p. 171-194
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| Subject: | capital markets | global markets | crisis | GARCH models | volatility | asymmetric effects | risk premium | Volatilität | Volatility | Finanzkrise | Financial crisis | Finanzmarkt | Financial market | USA | United States | ARCH-Modell | ARCH model | Aktienmarkt | Stock market | Risikoprämie | Risk premium | Großbritannien | United Kingdom | Internationaler Finanzmarkt | International financial market | EU-Staaten | EU countries |