Volatility Co-Movements and Spillover Effects within the Eurozone Economies : A Multivariate GARCH Approach Using the Financial Stress Index
Year of publication: |
2017
|
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Authors: | MacDonald, Ronald |
Other Persons: | Sogiakas, Vasilios I. (contributor) ; Tsopanakis, Andreas (contributor) |
Publisher: |
[2017]: [S.l.] : SSRN |
Subject: | Spillover-Effekt | Spillover effect | Volatilität | Volatility | ARCH-Modell | ARCH model | Eurozone | Euro area | EU-Staaten | EU countries | Finanzkrise | Financial crisis |
Extent: | 1 Online-Ressource (47 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | In: Journal of International Financial Markets, Institutions and Money, Forthcoming Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 24, 2017 erstellt |
Classification: | C43 - Index Numbers and Aggregation ; c58 ; G01 - Financial Crises ; G15 - International Financial Markets |
Source: | ECONIS - Online Catalogue of the ZBW |
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