Volatility spillover analysis between stocks and exchange rate markets in short and long terms in East European and Eurasian countries
Year of publication: |
2023
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Authors: | Živkov, Dejan ; Gajić-Glamočlija, Marina ; Đurašković, Jasmina |
Published in: |
International journal of emerging markets. - Bradford : Emerald, ISSN 1746-8817, ZDB-ID 2242085-X. - Vol. 18.2023, 11, p. 5068-5086
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Subject: | Stocks and exchange rate markets | Volatility transmission | CGARCH model | Markov switching model | Volatilität | Volatility | Wechselkurs | Exchange rate | Aktienmarkt | Stock market | Devisenmarkt | Foreign exchange market | Spillover-Effekt | Spillover effect | ARCH-Modell | ARCH model | Börsenkurs | Share price | Markov-Kette | Markov chain | Schätzung | Estimation |
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