Gilenko, Evgenii; Fedorova, Elena - In: Research in International Business and Finance 31 (2014) C, pp. 32-45
This paper examines mean-to-mean, volatility-to-mean and volatility-to-volatility spillover effects for the stock markets of BRIC countries. External and internal spillovers of returns and volatilities are estimated using 4-dimensional BEKK-GARCH-in-mean model. The model also includes the...
