Stock markets linkages before, during and after subprimes crisis : bivariate BEKK GARCH (1, 1) and DCC models
Year of publication: |
2015
|
---|---|
Authors: | Abdelkefi, Samar Zlitni ; Khoufi, Walid |
Published in: |
International journal of economics, finance and management sciences : IJEFM. - [New York, NY] : Science Publishing Group, ISSN 2326-9553, ZDB-ID 2758929-8. - Vol. 3.2015, 3, p. 213-230
|
Subject: | Stock Markets | USA | Asia | Europe | Volatility Spillovers | Granger Causality Test | Impulse Responses | Bivariate BEKK GARCH (1,1) | DCC Models | Schätzung | Estimation | Aktienmarkt | Stock market | ARCH-Modell | ARCH model | Volatilität | Volatility | Kausalanalyse | Causality analysis | Börsenkurs | Share price | United States | Spillover-Effekt | Spillover effect | Finanzkrise | Financial crisis | Zeitreihenanalyse | Time series analysis |
-
Networks of volatility spillovers among stock markets
Baumöhl, Eduard, (2017)
-
Omri, Imen, (2023)
-
Causality-in-variance between the stock market and macroeconomic variables in Singapore
Nikmanesh, Lida, (2019)
- More ...
-
Feki, Afef, (2008)
-
Riahi, Olfa, (2019)
-
An empirical examination of the determinants of audit report delay in France
Khoufi, Nouha, (2018)
- More ...