Niarchos, Nikitas; Tse, Yiuman; Wu, Chunchi; Young, Allan - In: Multinational Finance Journal 3 (1999) 1, pp. 19-40
This article investigates the international information transmission between the U.S. and Greek stock markets using daily data from the Athens Stock Exchange (ASE) and the S&P 500 Index returns. It employs a bivariate exponential GARCH-t (EGARCH-t) that allows for both mean and variance...
