Does the Spillover Index Respond Significantly to Systemic Shocks? A Bootstrap-Based Probabilistic Analysis
Year of publication: |
2021
|
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Authors: | Greenwood-Nimmo, Matthew ; Kocenda, Evzen ; Nguyen, Viet Hoang |
Publisher: |
Prague : Charles University in Prague, Institute of Economic Studies (IES) |
Subject: | Spillover index | systemic events | bootstrap-after-bootstrap procedure |
Series: | IES Working Paper ; 29/2021 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 177103906X [GVK] hdl:10419/247396 [Handle] RePEc:fau:wpaper:wp2021_29 [RePEc] |
Classification: | C32 - Time-Series Models ; c58 ; G15 - International Financial Markets |
Source: |
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Greenwood-Nimmo, Matthew, (2021)
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Does the Spillover Index Respond to Adverse Shocks? A Bootstrap-Based Probabilistic Analysis
Greenwood-Nimmo, Matthew, (2023)
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