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International comovement of economic fluctuations : a spatial analysis

Wang, Miao; Wong, M. C. Sunny; Granato, James S. - In: World development : the multi-disciplinary … 67 (2015), pp. 186-201

Persistent link: https://www.econbiz.de/10011338731

Integration und Volatilität bei Emerging Markets

Herrmann, Frank - 2005 - 1. Aufl.

Persistent link: https://www.econbiz.de/10003109018

Integration und Volatilität bei Emerging Markets

Herrmann, Frank - 2005 - Gabler Edition Wissenschaft

kann. Die zunehmende Integration internationaler Finanzmärkte könnte diesen Effekt aber größtenteils zunichte machen. An …

Persistent link: https://www.econbiz.de/10013517438

Spatial spillover effects and risk contagion around G20 stock markets based on volatility network

Zhang, Weiping; Zhuang, Xintian; Lu, Yang - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-14

Persistent link: https://www.econbiz.de/10012659562

Spatial GARCH : A Spatial Approach to Multivariate Volatility Modeling

Borovkova, Svetlana - 2012

This paper introduces a new approach to modelling the conditional variance in a multivariate setting. It is essentially a combination of the popular GARCH model class with a spatial component, inspired by generalized space-time models. The resulting spatial GARCH model takes into account both...

Persistent link: https://www.econbiz.de/10013097898