Volatility spillover effect : a semiparametric analysis of non-cointegrated process
Yiguo Sun, Cheng Hsiao and Qi Li
| Year of publication: |
2015
|
|---|---|
| Authors: | Sun, Yiguo ; Hsiao, Cheng ; Li, Qi |
| Published in: |
Econometric reviews. - Philadelphia, Pa. : Taylor & Francis, ISSN 0731-1761, ZDB-ID 797463-2. - Vol. 34.2015, 1/5, p. 127-145
|
| Subject: | Exchange rates | Integrated time series | Market volatility | Semiparametric varying coefficient models | Volatility spillover effect | Volatilität | Volatility | Nichtparametrisches Verfahren | Nonparametric statistics | Zeitreihenanalyse | Time series analysis | Spillover-Effekt | Spillover effect | Wechselkurs | Exchange rate | Theorie | Theory | ARCH-Modell | ARCH model |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011373301