Volatility spillovers across stock index futures in Asian markets : evidence from range volatility estimators
Year of publication: |
May 2016
|
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Authors: | Yarovaya, Larisa ; Brzeszczyński, Janusz ; Lau, Chi Keung |
Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 17.2016, p. 158-166
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Subject: | Stock markets | Volatility spillovers | Range volatility estimators | Asian markets | Volatilität | Volatility | Spillover-Effekt | Spillover effect | Asien | Asia | ARCH-Modell | ARCH model | Index-Futures | Index futures | Börsenkurs | Share price | Japan | Aktienmarkt | Stock market | Schätzung | Estimation |
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