Have the GIPSI settled down? : breaks and multivariate stochastic volatility models for, and not against, the European financial integration
Year of publication: |
2013
|
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Authors: | Ge̜bka, Bartosz ; Karoglou, Michail |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 37.2013, 9, p. 3639-3653
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Subject: | European integration | EMU | Financial spillovers | Break tests | Stochastic volatility models | EU-Staaten | EU countries | Eurozone | Euro area | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Finanzmarkt | Financial market | Marktintegration | Market integration | Schätzung | Estimation | Strukturbruch | Structural break | Spillover-Effekt | Spillover effect |
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