Reexamining the time-varying volatility spillover effects : a Markov switching causality approach
Tingguo Zheng; Haomiao Zuo
| Year of publication: |
2013
|
|---|---|
| Authors: | Zheng, Tingguo ; Zuo, Haomiao |
| Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 26.2013, p. 643-662
|
| Subject: | Volatility spillover | Markov switching | Granger causality | Range | Volatilität | Volatility | Kausalanalyse | Causality analysis | Markov-Kette | Markov chain | Spillover-Effekt | Spillover effect | ARCH-Modell | ARCH model | Börsenkurs | Share price |
| 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/10010370486