Intraday price discovery and volatility spillovers in an emerging market
Year of publication: |
2019
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Authors: | Fassas, Athanasios P. ; Siriopoulos, Costas |
Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 59.2019, p. 333-346
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Subject: | Athens exchange | Common factor weights | Continuous high frequency data | Hasbrouck information shares | Multivariate GARCH | Price discovery | Recursive cointegration analysis | Volatilität | Volatility | Kointegration | Cointegration | Börsenkurs | Share price | ARCH-Modell | ARCH model | Spillover-Effekt | Spillover effect | Schwellenländer | Emerging economies |
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