Equity market contagion in return volatility during Euro Zone and global financial crises: Evidence from FIMACH model
Year of publication: |
2019
|
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Authors: | Quoreshi, A. M. M. Shahiduzzaman ; Uddin, Reaz ; Jienwatcharamongkhol, Viroj |
Published in: |
Journal of Risk and Financial Management. - Basel : MDPI, ISSN 1911-8074. - Vol. 12.2019, 2, p. 1-18
|
Publisher: |
Basel : MDPI |
Subject: | contagion | financial markets | global financial crisis | Euro zone crisis | long memory |
Type of publication: | Article |
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Type of publication (narrower categories): | Article |
Language: | English |
Other identifiers: | 10.3390/jrfm12020094 [DOI] 1668146304 [GVK] hdl:10419/238963 [Handle] |
Classification: | C13 - Estimation ; C22 - Time-Series Models ; C25 - Discrete Regression and Qualitative Choice Models ; C51 - Model Construction and Estimation ; G12 - Asset Pricing ; G14 - Information and Market Efficiency; Event Studies |
Source: |
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Quoreshi, A. M. M. Shahiduzzaman, (2019)
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TIME SERIES MODELLING OF HIGH FREQUENCY STOCK TRANSACTION DATA
Quoreshi, Shahiduzzaman, (2006)
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Modelling High Frequency Financial Count Data
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Quoreshi, A. M. M. Shahiduzzaman, (2019)
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Quoreshi, A. M. M. Shahiduzzaman, (2019)
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