Intra-daily volatility spillovers in international stock markets
Year of publication: |
May 2015
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Authors: | Golosnoy, Vasyl ; Gribisch, Bastian ; Liesenfeld, Roman |
Published in: |
Journal of international money and finance. - Amsterdam [u.a.] : Elsevier, ISSN 0261-5606, ZDB-ID 872014-9. - Vol. 53.2015, p. 95-114
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Subject: | Conditional autoregressive Wishart model | Impulse response analysis | Observation-driven models | Realized covariance matrix | Subprime crisis | Volatility contagion | Volatilität | Volatility | Finanzkrise | Financial crisis | Spillover-Effekt | Spillover effect | Börsenkurs | Share price | Ansteckungseffekt | Contagion effect | Aktienmarkt | Stock market | Subprime-Krise | Subprime financial crisis | Aktienindex | Stock index | Theorie | Theory | ARCH-Modell | ARCH model | Internationaler Finanzmarkt | International financial market | Korrelation | Correlation |
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