Volatility transmission between Japan, UK and USA in daily stock returns
Year of publication: |
2009
|
---|---|
Authors: | Tanizaki, Hisashi ; Hamori, Shigeyuki |
Published in: |
Empirical Economics. - Department of Economics and Finance Research and Teaching. - Vol. 36.2009, 1, p. 27-54
|
Publisher: |
Department of Economics and Finance Research and Teaching |
Subject: | Daily stock returns | Holiday effect | Asymmetry effect | Day-of-the-week effect | Asymmetric volatility transmission |
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