Which information matters to market risk spreading in Brazil? : volatility transmission modelling using MGARCH-BEKK, DCC, t-Copulas
Felipe A. de Oliveira, Sinézio F. Maia, Diego P. de Jesus, Cássio da N. Besarria
| Year of publication: |
2018
|
|---|---|
| Authors: | Oliveira, Felipe A. de ; Maia, Sinézio Fernandes ; Jesus, Diego Pitta de ; Besarria, Cássio da Nóbrega |
| Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 45.2018, p. 83-100
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| Subject: | DCC | GARCH-BEKK | Market risk | Spillover | t-Copulas | Volatilität | Volatility | Brasilien | Brazil | Spillover-Effekt | Spillover effect | Marktrisiko | Zinsstruktur | Yield curve | Risikoprämie | Risk premium | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2018.02.003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012117759