Asymmetric semi-volatility spillover effects in EMU stock markets
Francesco Giuseppe Caloia, Andrea Cipollini, Silvia Muzzioli
| Year of publication: |
2018
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|---|---|
| Authors: | Caloia, Francesco Giuseppe ; Cipollini, Andrea ; Muzzioli, Silvia |
| Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 57.2018, p. 221-230
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| Subject: | Asymmetry | Forecast error variance decomposition | Semi-volatility | Spillover | VHAR | Spillover-Effekt | Spillover effect | Volatilität | Volatility | Eurozone | Euro area | Aktienmarkt | Stock market | Prognoseverfahren | Forecasting model | Dekompositionsverfahren | Decomposition method | VAR-Modell | VAR model | EU-Staaten | EU countries | Schock | Shock | Schätzung | Estimation | Theorie | Theory | ARCH-Modell | ARCH model | Varianzanalyse | Analysis of variance | Kapitaleinkommen | Capital income | Geldpolitik | Monetary policy |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.irfa.2018.03.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012006352