Multiscale volatility transmission and portfolio construction between the baltic stock markets
Dejan Živkov, Slavica Manić, Jasmina Đurašković
| 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 | Aktienmarkt | Stock market | Baltische Staaten | Baltic countries | ARCH-Modell | ARCH model | Portfolio-Management | Portfolio selection | Zustandsraummodell | State space model | Schätzung | Estimation | Kapitaleinkommen | Capital income | Aktienindex | Stock index | Korrelation | Correlation | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012137383