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~isPartOf:"Tinbergen Institute Discussion Paper"
~person:"Allen, David E."
~person:"Andersen, Torben"
~person:"Bauwens, Luc"
~person:"Caporin, Massimiliano"
~person:"Medeiros, Marcelo C."
~subject:"Spillover-Effekt"
~type_genre:"Aufsatz in Zeitschrift"
~type_genre:"Systematic review"
~type_genre:"Working Paper"
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Risk Modelling and Management: An Overview
Chang, Chia-Lin
;
Allen, David E.
;
McAleer, Michael
; …
-
2013
,
volatility
spillovers from the Chinese stock market to economic neighbours, a detailed comparison of Value-at-Risk estimates, the …
Persistent link: https://www.econbiz.de/10010326135
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2
Volatility
Spillovers from the US to Australia and China across the GFC
Allen, David E.
;
McAleer, Michael
;
Powell, R.J.
;
Singh, A.K.
-
2013
This paper features an analysis of
volatility
spillover effects from the US market, represented by the S&P500 index to …-mean equation to model the conditional mean in the Australian markets plus an ARMA model to capture
volatility
spillovers from the …
Persistent link: https://www.econbiz.de/10010326245
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