The effects of economic and financial shocks on private investment : a wavelet study of return and volatility spillovers
Year of publication: |
2023
|
---|---|
Authors: | GVS Chiranjivi ; Sensarma, Rudra |
Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 90.2023, p. 1-21
|
Subject: | ARMA-GARCH | Conditional volatility | Discrete wavelet transform | Multi resolution analysis | Private investment cycles | Volatility spillovers | Volatilität | Volatility | Spillover-Effekt | Spillover effect | Investition | Investment | Schock | Shock | Zustandsraummodell | State space model | ARCH-Modell | ARCH model | Konjunktur | Business cycle | Kapitaleinkommen | Capital income | Zeitreihenanalyse | Time series analysis |
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