Translating financial integration into correlation risk : a weekly reporting's viewpoint for the volatility behavior of stock markets
Hayette Gatfaoui
| Year of publication: |
2013
|
|---|---|
| Authors: | Gatfaoui, Hayette |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 30.2013, p. 776-791
|
| Subject: | Conditional correlation | Contagion risk | Multivariate BEKK | Leverage effect | Nonparametric regression | Systematic risk | Systemic risk | Volatility spillover | Volatilität | Volatility | Korrelation | Correlation | ARCH-Modell | ARCH model | Risiko | Risk | Systemrisiko | Spillover-Effekt | Spillover effect | Aktienmarkt | Stock market | Kapitaleinkommen | Capital income | Ansteckungseffekt | Contagion effect | Finanzmarkt | Financial market | Nichtparametrisches Verfahren | Nonparametric statistics | Risikomaß | Risk measure | Internationaler Finanzmarkt | International financial market | Börsenkurs | Share price | Portfolio-Management | Portfolio selection | Schätzung | Estimation | Finanzkrise | Financial crisis |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009708799