Ben Rejeb, Aymen; Arfaoui, Mongi - Volkswirtschaftliche Fakultät, … - 2014
This paper investigates the degree and structure of interdependence between emerging (Asian and Latin American) and developed (USA and Japan) stock markets through the study of volatility spillovers for the period spanning from January 1, 1993 to October 13, 2010. Using both standard GARCH model...