The intraday volatility spillover index approach and an application in the Brexit vote
Year of publication: |
July 2018
|
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Authors: | Nishimura, Yusaku ; Sun, Bianxia |
Published in: |
Journal of international financial markets, institutions & money. - Amsterdam : Elsevier, ISSN 1042-4431, ZDB-ID 1117317-8. - Vol. 55.2018, p. 241-253
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Subject: | Brexit vote | High-frequency data | Spillover index | Volatility spillover effect | Volatilität | Volatility | Spillover-Effekt | Spillover effect | Großbritannien | United Kingdom | ARCH-Modell | ARCH model | EU-Staaten | EU countries | Börsenkurs | Share price | Wahlverhalten | Voting behaviour | Aktienindex | Stock index |
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