Intraday bidirectional volatility spillover across international stock markets : does the global financial crisis matter?
Year of publication: |
2015
|
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Authors: | Jawadi, Fredj ; Louhichi, Waël ; Cheffou, Abdoulkarim Idi |
Published in: |
Applied economics. - Abingdon : Routledge, ISSN 0003-6846, ZDB-ID 280176-0. - Vol. 47.2015, 34/36, p. 3633-3650
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Subject: | volatility spillover | threshold GARCH model | intraday analysis | Subprime crisis | Volatilität | Volatility | Finanzkrise | Financial crisis | ARCH-Modell | ARCH model | Spillover-Effekt | Spillover effect | Internationaler Finanzmarkt | International financial market | Börsenkurs | Share price | Welt | World | Aktienmarkt | Stock market | Großbritannien | United Kingdom |
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