Testing for extreme volatility transmission with realized volatility measures
Year of publication: |
[2017]
|
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Authors: | Boucher, Christophe ; Truchis, Gilles de ; Dumitrescu, Elena-Ivona ; Tokpavi, Sessi |
Publisher: |
Nanterre : Université de Paris Ouest Nanterre La Défense |
Subject: | Extreme volatility transmission | Granger causality | Integrated variance | Realized variance | Semi-parametric test | Financial contagion | Volatilität | Volatility | Kausalanalyse | Causality analysis | Schätzung | Estimation | Varianzanalyse | Analysis of variance | Ansteckungseffekt | Contagion effect | Nichtparametrisches Verfahren | Nonparametric statistics | Börsenkurs | Share price | Finanzmarkt | Financial market | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model |
Extent: | 1 Online-Ressource (circa 45 Seiten) Illustrationen |
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Series: | Document de travail. - Nanterre : [Verlag nicht ermittelbar], ZDB-ID 2817159-7. - Vol. 2017, 20 |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
Language: | English |
Source: | ECONIS - Online Catalogue of the ZBW |
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