Time-varying international stock market interaction and the identification of volatility signals
Year of publication: |
July 2015
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Authors: | Strohsal, Till ; Weber, Enzo |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 56.2015, p. 28-36
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Subject: | Information | Uncertainty | Spillover | Simultaneous equations | Identification | Volatilität | Volatility | Börsenkurs | Share price | Aktienmarkt | Stock market | Schätzung | Estimation | Spillover-Effekt | Spillover effect | Theorie | Theory | ARCH-Modell | ARCH model | Signalling |
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