Al-Zeaud, Hussein Ali - In: American Journal of Finance and Accounting 3 (2014) 2/3/4, pp. 172-184
The paper aimed to examine the spillover effect between US and major European stock markets. This issue is carried out through DCC form of EGARCH model by Nelson (1991). Empirical evidence suggests that there is spillover effect from London market to New York, Pairs and Frankfurt stock markets....