Reexamining the time-varying volatility spillover effects: A Markov switching causality approach
Year of publication: |
2013
|
---|---|
Authors: | Zheng, Tingguo ; Zuo, Haomiao |
Published in: |
The North American Journal of Economics and Finance. - Elsevier, ISSN 1062-9408. - Vol. 26.2013, C, p. 643-662
|
Publisher: |
Elsevier |
Subject: | Volatility spillover | Markov switching | Granger causality | Range |
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