Extreme spillovers of VIX fear index to international equity markets
Year of publication: |
2019
|
---|---|
Authors: | Massaporn Cheuathonghua ; Chaiyuth Padungsaksawasdi ; Pattana Boonchoo ; Tongurai, Jittima |
Published in: |
Financial markets and portfolio management. - Heidelberg [u.a.] : Springer, ISSN 1934-4554, ZDB-ID 2052480-8. - Vol. 33.2019, 1, p. 1-38
|
Subject: | Extreme market conditions | International equity market | Tail distribution | VIX | Aktienmarkt | Stock market | Internationaler Finanzmarkt | International financial market | Volatilität | Volatility | Spillover-Effekt | Spillover effect | Kapitaleinkommen | Capital income | Aktienindex | Stock index | Welt | World | Schätzung | Estimation | Statistische Verteilung | Statistical distribution | ARCH-Modell | ARCH model | Japan |
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