Testing for a common volatility process and information spillovers in bivariate financial time series models
Year of publication: |
2016 ; Revised: February 2016
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Authors: | Chen, Jinghui ; Kobayashi, Masahito ; McAleer, Michael |
Publisher: |
Rotterdam : Tinbergen Institute |
Subject: | volatility comovement | cross-market hedging | spillovers | contagion | Spillover-Effekt | Spillover effect | Volatilität | Volatility | Hedging | Ansteckungseffekt | Contagion effect | Zeitreihenanalyse | Time series analysis | Kapitalmarktrendite | Capital market returns | Finanzmarkt | Financial market | ARCH-Modell | ARCH model | Stochastische Volatilität | Stochastic volatility | Monte-Carlo-Simulation | Monte Carlo simulation | Schätzung | Estimation |
Extent: | 1 Online-Ressource (circa 37 Seiten) Illustrationen |
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Series: | Discussion paper / Tinbergen Institute. - Rotterdam [u.a.] : [Verlag nicht ermittelbar], ISSN 0929-0834, ZDB-ID 2435783-2. - Vol. TI 2016-015 |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
Language: | English |
Other identifiers: | hdl:10419/130502 [Handle] |
Classification: | C12 - Hypothesis Testing ; c58 ; G01 - Financial Crises ; G11 - Portfolio Choice |
Source: | ECONIS - Online Catalogue of the ZBW |
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