Volatility transmission between the Japanese stock market and the Western stock market indices : time & frequency domain connectedness analysis with high-frequency data
Year of publication: |
2022
|
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Authors: | Akdoğu, Serpil Kahraman ; Keser, Merve |
Published in: |
Applied economics. - New York, NY : Routledge, ISSN 1466-4283, ZDB-ID 1473581-7. - Vol. 54.2022, 6, p. 670-684
|
Subject: | Financial market | frequency-domain analysis | spillover effect | stock market | time-domain analysis | Aktienmarkt | Stock market | Volatilität | Volatility | Japan | Spillover-Effekt | Spillover effect | Finanzmarkt | Börsenkurs | Share price | ARCH-Modell | ARCH model |
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