Volatility spillovers between the US and China stock markets : structural break test with symmetric and asymmetric GARCH approaches
Year of publication: |
2010
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Authors: | Moon, Gyu-hyen ; Yu, Wei-choun |
Published in: |
Global economic review. - Abingdon, Oxfordshire : Routledge, ISSN 1226-508X, ZDB-ID 1398828-1. - Vol. 39.2010, 2, p. 129-149
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Subject: | Aktienmarkt | Stock market | Volatilität | Volatility | Spillover-Effekt | Spillover effect | Kapitaleinkommen | Capital income | Strukturbruch | Structural break | ARCH-Modell | ARCH model | USA | United States | China | 1999-2007 |
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