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Return and volatility spillovers in equity markets : an investigation using various GARCH methodologies

Dedi, Lidija; Yavas, Burhan F. - In: Cogent economics & finance 4 (2016) 1, pp. 1-18

This paper investigates linkages among equity market returns and volatility spillovers in the following countries: Germany, United Kingdom, China, Russia, and Turkey. MARMA, GARCH, GARCH-in-mean, and exponential GARCH (EGARCH) methodologies are applied to daily data on country exchange-traded...

Persistent link: https://www.econbiz.de/10011597965

An investigation of return and volatility linkages among equity markets : a study of selected European and emerging countries

Yavas, Burhan F.; Dedi, Lidija - In: Research in international business and finance 37 (2016), pp. 583-596

Persistent link: https://www.econbiz.de/10011595408

Equity returns and volatilities before and after the 2007-08 financial crisis

Dedi, Lidija; Yavas, Burhan F. - In: Zagreb international review of economics & business 20 (2017) 1, pp. 65-79

Persistent link: https://www.econbiz.de/10011752804

Return and volatility spillover between stock prices and exchange rates in Croatia : a spillover methodology approach

Škrinjarić, Tihana; Dedi, Lidija; Šego, Boško - In: Romanian journal of economic forecasting 23 (2020) 4, pp. 93-108

Persistent link: https://www.econbiz.de/10012587117