Large and small cap stocks in Europe : covariance asymmetry, volatility spillovers and beta estimates
Year of publication: |
2007
|
---|---|
Authors: | Chuliá, Helena ; Torró, Hipòlit |
Published in: |
Advances in risk management. - Basingstoke, Hampshire [u.a.] : Palgrave Macmillan, ISBN 0-230-01916-1. - 2007, p. 327-352
|
Subject: | Volatilität | Volatility | EU-Staaten | EU countries | Spillover-Effekt | Spillover effect | Kapitaleinkommen | Capital income | Korrelation | Correlation | Schätzung | Estimation | Theorie | Theory | ARCH-Modell | ARCH model | Betafaktor | Beta risk |
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