Intraday price and volatility spillovers between Japanese and Korean stock markets
Year of publication: |
2014
|
---|---|
Authors: | Kang, Sang Hoon ; Yoon, Seong-min |
Published in: |
Korea and the world economy. - Seoul : [Verlag nicht ermittelbar], ISSN 2234-2346, ZDB-ID 2704224-8. - Vol. 15.2014, 2, p. 185-207
|
Subject: | VAR-asymmetric BEKK GARCH model | intraday volatility | spillover effect | impulse response function | time-varying correlation coefficients | Spillover-Effekt | Spillover effect | Volatilität | Volatility | ARCH-Modell | ARCH model | Japan | Südkorea | South Korea | Aktienmarkt | Stock market | Börsenkurs | Share price | Korrelation | Correlation | Kapitaleinkommen | Capital income |
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