Non-linearity, persistence and spillover effects in stock returns : the role of the volatility index
Po-Chin Wu, Sheng-Chieh Pan, Xue-Ling Tai
| Year of publication: |
2015
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|---|---|
| Authors: | Wu, Po-Chin ; Pan, Sheng-Chieh ; Tai, Xue-Ling |
| Published in: |
Empirica : journal of european economics. - Dordrecht : Springer, ISSN 0340-8744, ZDB-ID 188142-5. - Vol. 42.2015, 3, p. 597-613
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| Subject: | Panel smooth transition autoregression (PSTAR) model | Volatility index (VIX) | Persistence | Spillover effect | Regime switching | Volatilität | Volatility | Spillover-Effekt | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model | Index | Index number | Kapitaleinkommen | Capital income | Panel | Panel study | Aktienindex | Stock index | Schätzung | Estimation | Nichtlineare Regression | Nonlinear regression |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10663-014-9266-y [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011485602