Volatility spillover between the US, Chinese and Australian stock markets
Year of publication: |
May 2018
|
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Authors: | Bissoondoyal-Bheenick, Emawtee ; Brooks, Robert ; Chi, Wei ; Do, Hung Xuan |
Published in: |
Australian journal of management. - Los Angeles, Calif. [u.a.] : Sage, ISSN 0312-8962, ZDB-ID 609380-2. - Vol. 43.2018, 2, p. 263-285
|
Subject: | Bi-power variation | granger casuality test | realized volatility | volatility spillover | Volatilität | Volatility | Spillover-Effekt | Spillover effect | Australien | Australia | Aktienmarkt | Stock market | China | Kapitaleinkommen | Capital income | ARCH-Modell | ARCH model | Börsenkurs | Share price | Schätzung | Estimation |
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