Illiquidity and volatility spillover effects in equity markets during and after the global financial crisis: An MEM approach
Year of publication: |
2018
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Authors: | Xu, Yongdeng ; Taylor, Nicholas ; Lu, Wenna |
Publisher: |
Cardiff : Cardiff University, Cardiff Business School |
Subject: | Illiquidity Spillover | Volatility Spillover | Multiplicative Error Model |
Series: | Cardiff Economics Working Papers ; E2018/6 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 1028867883 [GVK] hdl:10419/230412 [Handle] |
Classification: | C32 - Time-Series Models ; C52 - Model Evaluation and Testing ; G14 - Information and Market Efficiency; Event Studies |
Source: |
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Xu, Yongdeng, (2018)
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Xu, Yongdeng, (2018)
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