Volatility spillovers from Australia's major trading partners across the GFC
Year of publication: |
January 2017
|
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Authors: | Allen, David E. ; McAleer, Michael ; Powell, Robert ; Singh, Abhay Kumar |
Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 47.2017, p. 159-175
|
Subject: | Volatility Spillover Index | VAR analysis | Variance decomposition | Cholesky-GARCH | Australien | Australia | Spillover-Effekt | Spillover effect | VAR-Modell | VAR model | Japan | ARCH-Modell | ARCH model | Börsenkurs | Share price | Südkorea | South Korea | China | Volatilität | Volatility |
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