Testing for a Common Volatility Process and Information Spillovers in Bivariate Financial Time Series Models
Year of publication: |
2016
|
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Authors: | Chen, Jinghui ; Kobayashi, Masahito ; McAleer, Michael |
Publisher: |
Amsterdam and Rotterdam : Tinbergen Institute |
Subject: | Volatility comovement | Cross-market hedging | Spillovers | Contagion |
Series: | Tinbergen Institute Discussion Paper ; 16-015/III |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 852715552 [GVK] hdl:10419/130502 [Handle] RePEc:tin:wpaper:20160015 [RePEc] |
Classification: | C12 - Hypothesis Testing ; c58 ; G01 - Financial Crises ; G11 - Portfolio Choice |
Source: |
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Chen, Jinghui, (2016)
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