Dynamic interdependence and volatility transmission in the American stock markets during the attacks of September 11 : a retrospective
Year of publication: |
julho-dezembro 2017
|
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Authors: | Amarante, Adriano de ; Cunha, Jefferson da |
Published in: |
Revista brasileira de economia de empresas : publicação semestral do Programa de Pós-Graduação Stricto Sensu em Economia da Universidade Católica de Brasília. - Brasília, ISSN 1676-8000, ZDB-ID 2631058-2. - Vol. 17.2017, 2, p. 7-18
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Subject: | stock markets | dynamic intetdependence | volatility | VAR-EGARCH | terrorist attacks | Volatilität | Volatility | Aktienmarkt | Stock market | Terrorismus | Terrorism | ARCH-Modell | ARCH model | Schätzung | Estimation |
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