Volatility transmission and herding contigion during the global financial crises
Year of publication: |
2013
|
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Authors: | Abbes, Mouna Boujelbène |
Published in: |
International journal of managerial and financial accounting. - Olney, Bucks. : Inderscience Publ., ISSN 1753-6715, ZDB-ID 2458817-9. - Vol. 5.2013, 2, p. 138-161
|
Subject: | financial crisis | spillover | herding | volatility | BEKK-GARCH | Kalman filter | Finanzkrise | Financial crisis | Volatilität | Volatility | Herdenverhalten | Herding | Spillover-Effekt | Spillover effect | Welt | World | Zustandsraummodell | State space model | ARCH-Modell | ARCH model | Schätzung | Estimation |
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