Time varying volatility indices and their determinants : evidence from developed and emerging stock markets
Nalin Prasad, Andrew Grant, Suk-Joong Kim
| Year of publication: |
2018
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|---|---|
| Authors: | Prasad, Nalin ; Grant, Andrew ; Kim, Suk-Joong |
| Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 60.2018, p. 115-126
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| Subject: | Realized volatility | Spillover index | Stock market spillovers | VAR | Volatility transmission | Volatilität | Volatility | Aktienmarkt | Stock market | Spillover-Effekt | Spillover effect | Schwellenländer | Emerging economies | Aktienindex | Stock index | ARCH-Modell | ARCH model | VAR-Modell | VAR model | Schätzung | Estimation | Welt | World | Industrieländer | Industrialized countries |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.irfa.2018.09.006 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012007551