Revisited return and volatility spillover effect in Korea
Alternative title: | Volatility spillover between exchange rate and stock price : evidence from Korea |
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Year of publication: |
2013
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Authors: | Kang, Sang Hoon ; Yoon, Seong-min |
Published in: |
Korea and the world economy. - Seoul : [Verlag nicht ermittelbar], ISSN 2234-2346, ZDB-ID 2704224-8. - Vol. 14.2013, 1, p. 121-145
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Subject: | cointegration | financial crisis | VAR-GJR-GARCH-BEKK model | volatility spillover | volatility asymmetry | stock-oriented approach | Volatilität | Volatility | Spillover-Effekt | Spillover effect | Finanzkrise | Financial crisis | Südkorea | South Korea | ARCH-Modell | ARCH model | Kapitaleinkommen | Capital income |
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