Volatility Spillovers Between Oil Prices and BIST (Borsa Istanbul) Dividend Indexes

DOI10.1007/978-3-030-54108-8_15OpenAlexW3129756379MaRDI QIDQ5049446

Barış Kocaarslan

Publication date: 11 November 2022

Published in: Handbook of Research on Emerging Theories, Models, and Applications of Financial Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-030-54108-8_15

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

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• Unit root tests allowing for a break in the trend function at an unknown time under both the null and alternative hypotheses
• Generalized autoregressive conditional heteroscedasticity
• A causality-in-variance test and its application to financial market prices
• A Lagrange multiplier test for causality in variance
• Efficient Tests for an Autoregressive Unit Root
• A test for volatility spillover with application to exchange rates

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