Returns, correlations, and volatilities in equity markets : evidence from six OECD countries during the US financial crisis
Year of publication: |
December 2016
|
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Authors: | Kim, Hyun Seok ; Min, Hong-ghi ; McDonald, Judith Ann |
Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 59.2016, p. 9-22
|
Subject: | Correlations | Market volatilities | US financial crisis | TED spread | Stock-market volatility index | Foreign-exchange market volatility index | USA | United States | Volatilität | Volatility | Finanzkrise | Financial crisis | Börsenkurs | Share price | Aktienmarkt | Stock market | Finanzmarkt | Financial market | Kapitaleinkommen | Capital income | Schätzung | Estimation | Korrelation | Correlation | OECD-Staaten | OECD countries | ARCH-Modell | ARCH model |
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