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~person:"Spagnolo, Nicola"
~subject:"Spillover-Effekt"
~subject:"USA"
~type_genre:"Arbeitspapier"
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Spillover-Effekt
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Spagnolo, Nicola
McAleer, Michael
37
Chang, Chia-Lin
21
Caporale, Guglielmo Maria
15
Spagnolo, Fabio
9
Weber, Enzo
8
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7
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7
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7
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Polasek, Wolfgang
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4
Bauwens, Luc
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Hansen, Peter Reinhard
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ECONIS (ZBW)
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1
US municipal green bonds and financial integration
Caporale, Guglielmo Maria
;
Spagnolo, Nicola
-
2023
respectively. Specifically, four-variate VAR-
GARCH
-BEKK models are estimated which include suitably defined dummies corresponding …
Persistent link: https://www.econbiz.de/10014234020
Saved in:
2
Spillovers between food and energy prices and structural breaks /Alanoud Al-Maadid, Guglielmo Maria Caporale, Fabio Spagnolo and Nicola Spagnolo
Al-Maadid, Alanoud
;
Caporale, Guglielmo Maria
; …
-
2015
Persistent link: https://www.econbiz.de/10010527213
Saved in:
3
Spillovers between food and energy prices and structural breaks
Al-Maadid, Alanoud
;
Caporale, Guglielmo Maria
; …
-
2015
This paper estimates a bivariate VAR-
GARCH
(1,1) model to examine linkages between food and energy prices. The adopted …
Persistent link: https://www.econbiz.de/10010498617
Saved in:
4
Spillovers between food and energy prices and structural breaks
Al-Maadid, Alanoud
;
Caporale, Guglielmo Maria
; …
-
2015
This paper estimates a bivariate VAR-
GARCH
(1,1) model to examine linkages between food and energy prices. The adopted …
Persistent link: https://www.econbiz.de/10010501248
Saved in:
5
Equity fund flows and stock market returns in the US before and after the global financial crisis : a VAR-
GARCH
-in-mean Analysis
Babalos, Vassilios
;
Caporale, Guglielmo Maria
; …
-
2016
stock market returns. This paper analyses it using US monthly data over the period 2000:1-2015:08. A VAR-
GARCH
(1,1)-in …
Persistent link: https://www.econbiz.de/10011482859
Saved in:
6
Equity fund flows and stock market returns in the US before and after the global financial crisis : a VAR-
GARCH
-in-mean analysis
Babalos, Vassilios
;
Caporale, Guglielmo Maria
; …
-
2016
Persistent link: https://www.econbiz.de/10011536693
Saved in:
7
Equity fund flows and stock market returns in the US before and after the global financial crisis : a VAR-
GARCH
-in-mean analysis
Babalos, Vassilios
;
Caporale, Guglielmo Maria
; …
-
2016
stock market returns. This paper analyses it using US monthly data over the period 2000:1-2015:08. A VAR-
GARCH
(1,1)-in …
Persistent link: https://www.econbiz.de/10011479824
Saved in:
8
Interest and exchange rate risk and stock returns : a multivariate
Garch
-M modelling approach
Beirne, John
(
contributor
); …
-
2008
Persistent link: https://www.econbiz.de/10003641941
Saved in:
9
Macro news and stock returns in the euro Area : a VAR-
GARCH
-in-means analysis
Caporale, Guglielmo Maria
;
Spagnolo, Fabio
;
Spagnolo, Nicola
-
2014
- 2013. The econometric analysis is based on the estimation of a VAR-
GARCH
-in-mean model. The results can be summarised as …
Persistent link: https://www.econbiz.de/10010383808
Saved in:
10
Macro news and stock returns in the euro area : a VAR-
GARCH
-in-mean analysis
Caporale, Guglielmo Maria
;
Spagnolo, Fabio
;
Spagnolo, Nicola
-
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/10010399794
Saved in:
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