Causality-in-variance between the stock market and macroeconomic variables in Singapore
Year of publication: |
2019
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Authors: | Nikmanesh, Lida ; Abu Hassan Shaari Mohd Nor |
Published in: |
The Singapore economic review : journal of the Economic Society of Singapore and the Department of Economics, National University of Singapore. - Hackensack, NJ [u.a.] : World Scientific, ISSN 0217-5908, ZDB-ID 231534-8. - Vol. 64.2019, 5, p. 1299-1317
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Subject: | Causality-in-variance | spillovers | stock market volatility | structural break in variance | macroeconomic volatility | Volatilität | Volatility | Aktienmarkt | Stock market | Singapur | Singapore | Strukturbruch | Structural break | Börsenkurs | Share price | Zeitreihenanalyse | Time series analysis | Spillover-Effekt | Spillover effect | Konjunktur | Business cycle | Schätzung | Estimation | Kausalanalyse | Causality analysis | ARCH-Modell | ARCH model |
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