Translating financial integration into correlation risk: A weekly reporting's viewpoint for the volatility behavior of stock markets
Year of publication: |
2013
|
---|---|
Authors: | Gatfaoui, Hayette |
Published in: |
Economic Modelling. - Elsevier, ISSN 0264-9993. - Vol. 30.2013, C, p. 776-791
|
Publisher: |
Elsevier |
Subject: | Conditional correlation | Contagion risk | Multivariate BEKK | Leverage effect | Nonparametric regression | Systematic risk | Systemic risk | Volatility spillover |
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