Price and volatility spillovers between exchange rates and stock indexes for the pre- and post-euro period (Q5440108)
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scientific article; zbMATH DE number 5231525
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Price and volatility spillovers between exchange rates and stock indexes for the pre- and post-euro period |
scientific article; zbMATH DE number 5231525 |
Statements
Price and volatility spillovers between exchange rates and stock indexes for the pre- and post-euro period (English)
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31 January 2008
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exchange rate
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stock index price
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multivariate EGARCH model
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asymmetric volatility spillover
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causality
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cross-correlation
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