Structural change in the correlation, return and volatility spillovers : evidence from the oil, stock and exchange rate markets in the United States
Jung-Bin Su
| Year of publication: |
2022
|
|---|---|
| Authors: | Su, Jung-Bin |
| Published in: |
Economic research. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1331-677X, ZDB-ID 2171828-3. - Vol. 35.2022, 1,6, p. 6918-6944
|
| Subject: | Structural break | bivariate GARCH model | pairwise markets' interaction indicator | quantitative easing | global financial crisis | USA | United States | ARCH-Modell | ARCH model | Volatilität | Volatility | Finanzkrise | Financial crisis | Spillover-Effekt | Spillover effect | Wechselkurs | Exchange rate | Strukturbruch | Aktienmarkt | Stock market | Schätzung | Estimation | Börsenkurs | Share price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1331677X.2022.2054453 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014428554