Volatility spillovers among the U.S. and Asian stock markets : a comparison between the periods of Asian currency crisis and subprime credit crisis
Year of publication: |
2018
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Authors: | Lien, Da-hsiang Donald ; Lee, Geul ; Li, Yang ; Zhang, Yuyin |
Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 46.2018, p. 187-201
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Subject: | Asian currency crisis | Contagion | Multiplicative error model | Subprime credit crisis | Volatility spillover | Volatilität | Volatility | Asien | Asia | Währungskrise | Currency crisis | Spillover-Effekt | Spillover effect | USA | United States | Finanzkrise | Financial crisis | Subprime-Krise | Subprime financial crisis | ARCH-Modell | ARCH model | Ansteckungseffekt | Contagion effect | Schwellenländer | Emerging economies | Schätzung | Estimation | Japan |
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