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Are financial spillovers stable across regimes? · Study

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ArticleAre financial spillovers stable across regimes?

Bartosz Gębka2005

Article2005

Are financial spillovers stable across regimes?

Bartosz Gębka · Dobromił Serwa

32 citations·0/0 files stored·Journal of International Financial Markets Institutions and Money

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Financial Risk and Volatility Modeling Global Financial Crisis and Policies Market Dynamics and Volatility

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References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1986Generalized autoregressive conditional heteroskedasticity 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements 1993Tests for Parameter Instability and Structural Change With Unknown Change Point 2000Financial Contagion

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Year2005

Typearticle

Published2005-10-14

VenueJournal of International Financial Markets Institutions and Money

ISSN-L1042-4431

Languageen

Citations32

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.intfin.2005.03.002

openalex_workW1539524203

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