Multiscale volatility transmission and portfolio construction between the baltic stock markets
Year of publication: |
2019
|
---|---|
Authors: | Živkov, Dejan ; Manić, Slavica ; Đurašković, Jasmina |
Published in: |
Finance a úvěr. - Praha : Datakonekt, ISSN 0015-1920, ZDB-ID 860318-2. - Vol. 69.2019, 2, p. 211-235
|
Subject: | Baltic stock indices | volatility transmission | EGARCH model | wavelet coherence | wavelet correlation | phase difference | Volatilität | Volatility | Baltische Staaten | Baltic countries | Aktienmarkt | Stock market | Aktienindex | Stock index | ARCH-Modell | ARCH model | Portfolio-Management | Portfolio selection | Korrelation | Correlation | Zustandsraummodell | State space model | Schätzung | Estimation | Zeitreihenanalyse | Time series analysis |
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