CETINKAYA, Engin; ALTAY, Erdinc - In: Journal of BRSA Banking and Financial Markets 6 (2012) 2, pp. 185-223
In this research we analysed the contagion of 4 major global crises that are occured after 1990 on ISE conditional variance by using ARMA-EGARCH models. The evidence shows that Mexico, Southeast Asia and Russia crises have statistically significant effects on ISE conditional variance, so they...