Stock and currency market linkages : new evidence from realized spillovers in higher moments
Year of publication: |
March 2016
|
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Authors: | Do, Hung Xuan ; Brooks, Robert ; Sirimon Treepongkaruna ; Wu, Eliza |
Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 42.2016, p. 167-185
|
Subject: | Spillovers | Fractionally integrated VAR | Long memory | Higher moments | Intraday data | Spillover-Effekt | Spillover effect | Aktienmarkt | Stock market | Volatilität | Volatility | Schätzung | Estimation | Kapitaleinkommen | Capital income | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | Devisenmarkt | Foreign exchange market | Japan | Theorie | Theory | Wechselkurs | Exchange rate |
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