Asymmetric cross-market volatility spillovers : evidence from Indian equity and foreign exchange markets
Year of publication: |
2014
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Authors: | Panda, Pradiptarathi ; Deo, Malabika |
Published in: |
Decision. - Calcutta : Inst., ISSN 0304-0941, ZDB-ID 196771-X. - Vol. 41.2014, 3, p. 261-270
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Subject: | Stock indices | Exchange rates | GARCH | EGARCH | Asymmetric effect | Volatility spillover effect | Spillover-Effekt | Spillover effect | Volatilität | Volatility | Wechselkurs | Exchange rate | ARCH-Modell | ARCH model | Devisenmarkt | Foreign exchange market | Indien | India |
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