Volatility Spillovers, Interdependence and Comovements: A Markov Switching Approach
Year of publication: |
2007-10
|
---|---|
Authors: | Gallo, Giampiero ; Otranto, Edoardo |
Institutions: | Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", Università degli Studi di Firenze |
Subject: | Markov Switching | multiple chains | volatility | spillover effect | comovements |
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