Spillover effects in the presence of structural breaks, persistence and conditioned heteroscedasticity
Year of publication: |
2023
|
---|---|
Authors: | Souza, Francisca Mendonça ; Ramser, Claudia Aline de Souza ; Souza, Adriano Mendonça de ; Veiga, Claudimar Pereira da |
Published in: |
Annals of financial economics. - Hackensack, NJ [u.a.] : World Scientific, ISSN 2010-4960, ZDB-ID 2515861-2. - Vol. 18.2023, 2, Art.-No. 2250034, p. 1-51
|
Subject: | conditioned heteroscedasticity | Finance | interest rates | persistence | stock markets | structural breaks | yields | Strukturbruch | Structural break | Zeitreihenanalyse | Time series analysis | Zins | Interest rate | Heteroskedastizität | Heteroscedasticity | Spillover-Effekt | Spillover effect | Aktienmarkt | Stock market | ARCH-Modell | ARCH model | Theorie | Theory |
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