Good and bad volatility spillovers : an asymmetric connectedness
Year of publication: |
2019
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Authors: | BenSaïda, Ahmed |
Published in: |
Journal of financial markets. - Amsterdam [u.a.] : Elsevier, ISSN 1386-4181, ZDB-ID 1402747-1. - Vol. 43.2019, p. 78-95
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Subject: | Asymmetric volatility | Contemporaneous spillovers | Financial contagion | Risk transmission | Theorie | Theory | Spillover-Effekt | Spillover effect | Volatilität | Volatility | Ansteckungseffekt | Contagion effect | ARCH-Modell | ARCH model | Schock | Shock | Schätzung | Estimation | Finanzkrise | Financial crisis | Aktienmarkt | Stock market |
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