Volatility spillover effect with time-varying parameters between Bist100 and dow-jones under different regimes
Elif Erer and Deniz Erer
| Year of publication: |
March 2018
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|---|---|
| Authors: | Erer, Elif ; Erer, Deniz |
| Published in: |
The empirical economics letters : a monthly international journal of economics. - Rajshahi, ISSN 1681-8997, ZDB-ID 2560109-X. - Vol. 17.2018, 3, p. 339-348
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| Subject: | Volatility spillover effect | Markov-Switching regression | GAS model | Volatilität | Volatility | Spillover-Effekt | Spillover effect | Markov-Kette | Markov chain | Regressionsanalyse | Regression analysis | ARCH-Modell | ARCH model | Schock | Shock | Schätzung | Estimation |
| 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/10011912990