Volatility spillovers among global stock markets : measuring total and directional effects
Santiago Gamba-Santamaria, Jose Eduardo Gomez-Gonzalez, Jorge Luis Hurtado-Guarin, Luis Fernando Melo-Velandia
| Year of publication: |
2019
|
|---|---|
| Authors: | Gamba-Santamaria, Santiago ; Gómez González, José Eduardo ; Hurtado, Jorge ; Melo-Velandia, Luis Fernando |
| Published in: |
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria. - Berlin : Springer, ISSN 0377-7332, ZDB-ID 519394-1. - Vol. 56.2019, 5, p. 1581-1599
|
| Subject: | DCC-GARCH model | Financial crisis | Global stock market linkages | Volatility spillovers | Volatilität | Volatility | Aktienmarkt | Stock market | Finanzkrise | Spillover-Effekt | Spillover effect | Internationaler Finanzmarkt | International financial market | ARCH-Modell | ARCH model | Welt | World |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00181-017-1406-3 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012052208