Translating financial integration into correlation risk : a weekly reporting's viewpoint for the volatility behavior of stock markets
Year of publication: |
2013
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Authors: | Gatfaoui, Hayette |
Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 30.2013, p. 776-791
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Subject: | Conditional correlation | Contagion risk | Multivariate BEKK | Leverage effect | Nonparametric regression | Systematic risk | Systemic risk | Volatility spillover | Volatilität | Volatility | Korrelation | Correlation | Aktienmarkt | Stock market | Systemrisiko | ARCH-Modell | ARCH model | Risiko | Risk | Kapitaleinkommen | Capital income | Finanzmarkt | Financial market | Spillover-Effekt | Spillover effect | Portfolio-Management | Portfolio selection | Finanzkrise | Financial crisis | Ansteckungseffekt | Contagion effect |
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