Stock market volatility spillovers and portfolio hedging : BRICS and the financial crisis
Theodore Syriopoulos, Beljid Makram, Adel Boubaker
| Year of publication: |
May 2015
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| Authors: | Syriopoulos, Theodore ; Makram, Beljid ; Boubaker, Adel |
| Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 39.2015, p. 7-18
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| Subject: | BRICS markets | Dynamic volatility spillovers | VAR(k)-GARCH(p,q) model | Hedge ratios | Optimal portfolio allocation | Volatilität | Volatility | Hedging | Portfolio-Management | Portfolio selection | Spillover-Effekt | Spillover effect | BRICS-Staaten | BRICS countries | Aktienmarkt | Stock market | Finanzkrise | Financial crisis | ARCH-Modell | ARCH model | VAR-Modell | VAR model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.irfa.2015.01.015 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011573010