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~source:"repec"
~subject:"volatility spillovers"
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volatility spillovers
GARCH
10
emission allowance prices
3
jumps
3
ECB
2
EMU
2
GARCH models
2
Markov switching
2
VAR-GARCH-in-mean model
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conditional heteroskedasticity
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inflation
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inflation uncertainty
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jump-induced variance
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time-varying parameters
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Central and Eastern European countries (CEECs)
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China
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ERM II
1
Friday the 13th
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GARCH model
1
Hotelling
1
Markov switching model
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TV-AR model
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TV-AR-GARCH model
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VAR-GARCH BEKK model
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VAR-GARCH model
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Warsaw Stock Exchange
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climate change
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conditional jumps
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contagion
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de facto exchange rate regime
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deterministic trend
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emerging markets
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energy and food prices
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exchange rates
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forecasting
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heteroskedasticity
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identification via heteroskedasticity
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inflation persistence
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inflation targeting
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interdependence
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Caporale, Guglielmo Maria
3
Spagnolo, Nicola
3
Spagnolo, Fabio
2
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CESifo
Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
6
Erasmus University Rotterdam, Econometric Institute
5
Department of Economics and Finance, College of Business and Economics
3
Institute of Economic Research, Kyoto University
3
School of Economics, Kingston University
2
Departamento de Economía Aplicada III (Econometría y Estadística), Facultad de Ciencias Económicas y Empresariales
1
Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid
1
Institut de Préparation à l'Administration et à la Gestion (IPAG)
1
Siirtymätalouksien tutkimuslaitos, Suomen Pankki
1
Suomen Pankki
1
Université Paris-Dauphine
1
Université Paris-Dauphine (Paris IX)
1
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
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1
Macro News and Stock Returns in the Euro Area: A VAR-
GARCH
-in-Means Analysis
Caporale, Guglielmo Maria
;
Spagnolo, Fabio
;
Spagnolo, Nicola
-
CESifo
-
2014
-2013. The econometric analysis is based on the estimation of a VAR-
GARCH
-in-mean model. The results can be summarised as follows …
Persistent link: https://www.econbiz.de/10010877764
Saved in:
2
Macro News and Bond Yield Spreads in the Euro Area
Caporale, Guglielmo Maria
;
Spagnolo, Fabio
;
Spagnolo, Nicola
-
CESifo
-
2014
estimation of a VAR-
GARCH
model. The results can be summarized as follows. Negative news have significant positive effects on …
Persistent link: https://www.econbiz.de/10010948819
Saved in:
3
Stock Market Integration between three CEECs, Russia and the UK
Caporale, Guglielmo Maria
;
Spagnolo, Nicola
-
CESifo
-
2010
This paper estimates a tri-variate VAR-
GARCH
(1,1)-in-mean model to examine linkages between the stock markets of three …
Persistent link: https://www.econbiz.de/10008583722
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