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The integration of the credit default swap markets during the US subprime crisis : dynamic correlation analysis

Wang, Ping; Moore, Tomoe - In: Journal of international financial markets, … 22 (2012) 1, pp. 1-15

Persistent link: https://www.econbiz.de/10009540854

The volatility spillover from the market to disaggregated industry stocks : the case for the US and UK

Moore, Tomoe - 2009

Persistent link: https://www.econbiz.de/10003898744

The volatility spillover from the market to disaggregated industry stocks : the case for the US and UK

Moore, Tomoe - In: International journal of business and economics 10 (2011) 1, pp. 61-68

Persistent link: https://www.econbiz.de/10009309712

The Volatility Spillover from the Market to Disaggregated Industry Stocks : The Case for the US and UK

Moore, Tomoe - 2011

This article empirically investigates the volatility spillover of stock returns from the market to disaggregated industry sectors. Seventeen sectors from the US and UK stock markets are estimated by the GARCH technique based on daily data from 1973 to 2008. The key findings are two-fold. In the...

Persistent link: https://www.econbiz.de/10013119767