A DCC-GARCH Model To Estimate the Risk to the Capital Market in Romania
Year of publication: |
2013
|
---|---|
Authors: | Acatrinei, Marius ; Gorun, Adrian ; Marcu, Nicu |
Published in: |
Journal for Economic Forecasting. - Institutul de Prognoza Economica. - 2013, 1, p. 136-148
|
Publisher: |
Institutul de Prognoza Economica |
Subject: | volatility spillovers | contagion effects | stock return comovem |
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