Volatility spillover effect with time-varying parameters between Bist100 and dow-jones under different regimes
Year of publication: |
March 2018
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Authors: | Erer, Elif ; Erer, Deniz |
Published in: |
The empirical economics letters : a monthly international journal of economics. - Rajshahi, ISSN 1681-8997, ZDB-ID 2560109-X. - Vol. 17.2018, 3, p. 339-348
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Subject: | Volatility spillover effect | Markov-Switching regression | GAS model | Volatilität | Volatility | Spillover-Effekt | Spillover effect | ARCH-Modell | ARCH model | Markov-Kette | Markov chain | Theorie | Theory | Regressionsanalyse | Regression analysis |
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