Volatility transmission across financial markets : a semiparametric analysis
Year of publication: |
2020
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Authors: | Kolaiti, Theoplasti ; Mboya, Mwasi ; Sibbertsen, Philipp |
Published in: |
Journal of risk and financial management : JRFM. - Basel : MDPI, ISSN 1911-8074, ZDB-ID 2739117-6. - Vol. 13.2020, 8/160, p. 1-13
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Subject: | fractional cointegration | high-frequency data | realized volatility | semiparametric estimation | Volatilität | Volatility | Nichtparametrisches Verfahren | Nonparametric statistics | Schätzung | Estimation | Finanzmarkt | Financial market | Kointegration | Cointegration | ARCH-Modell | ARCH model |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/jrfm13080160 [DOI] hdl:10419/239271 [Handle] |
Classification: | C14 - Semiparametric and Nonparametric Methods ; C32 - Time-Series Models ; G15 - International Financial Markets |
Source: | ECONIS - Online Catalogue of the ZBW |
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