Global financial crisis and spillover effects among the U.S. and BRICS stock markets
Year of publication: |
March 2016
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Authors: | Mensi, Walid ; Hammoudeh, Shawkat ; Nguyen, Duc Khuong ; Kang, Sang Hoon |
Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 42.2016, p. 257-276
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Subject: | Volatility spillovers | Global financial crisis | Structural breaks | VaR forecasts | Multivariate DCC-FIAPARCH | Spillover-Effekt | Spillover effect | Finanzkrise | Financial crisis | Volatilität | Volatility | Aktienmarkt | Stock market | USA | United States | Strukturbruch | Structural break | Internationaler Finanzmarkt | International financial market | VAR-Modell | VAR model | ARCH-Modell | ARCH model | BRICS-Staaten | BRICS countries | Wirkungsanalyse | Impact assessment |
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