Asymmetric volatility spillover between stock market and foreign exchange market : instances from Indian market from pre-, during and post- subprime crisis periods
Year of publication: |
December 2018
|
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Authors: | Bal, Gnyana Ranjan ; Manglani, Amit ; Deo, Malabika |
Published in: |
Global business review. - New Delhi [u.a.] : Sage, ISSN 0972-1509, ZDB-ID 2004354-5. - Vol. 19.2018, 6, p. 1567-1579
|
Subject: | Volatility clustering and pooling | volatility spillover | leverage effect | CNX Nifty | exchange rates | Volatilität | Volatility | Spillover-Effekt | Spillover effect | Wechselkurs | Exchange rate | Indien | India | Finanzkrise | Financial crisis | Devisenmarkt | Foreign exchange market | Aktienmarkt | Stock market | ARCH-Modell | ARCH model | Börsenkurs | Share price | Schwellenländer | Emerging economies |
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