Financial market interdependencies : a quantile regression analysis of volatility spillover
Year of publication: |
January 2016
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Authors: | Rejeb, Aymen Ben ; Arfaoui, Mongi |
Published in: |
Research in international business and finance. - Amsterdam [u.a.] : Elsevier, ISSN 0275-5319, ZDB-ID 424514-3. - Vol. 36.2016, p. 140-157
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Subject: | Market interdependence | Volatility spillovers | Asymmetric interdependence | Contagion | Quantile regression | Volatilität | Volatility | Spillover-Effekt | Spillover effect | Regressionsanalyse | Regression analysis | Internationaler Finanzmarkt | International financial market | Finanzmarkt | Financial market | Börsenkurs | Share price | Aktienmarkt | Stock market | ARCH-Modell | ARCH model | Ansteckungseffekt | Contagion effect |
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