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ArticleAsymmetric variance and spillover effects

José Luis Miralles Marcelo2006

Article2006

Asymmetric variance and spillover effects

José Luis Miralles Marcelo · José Luís Miralles Quirós · María del Mar Miralles Quirós

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

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Market Dynamics and Volatility

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References

1986Generalized autoregressive conditional heteroskedasticity 1995Multivariate Simultaneous Generalized ARCH 1988A Capital Asset Pricing Model with Time-Varying Covariances 1986Modelling the persistence of conditional variances 1994Autoregressive conditional heteroskedasticity and changes in regime 1990When Are Contrarian Profits Due to Stock Market Overreaction?1997Emerging equity market volatility 1990Persistence in Variance, Structural Change, and the GARCH Model

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2012Volatility transmission across stock index futures when there are structural changes in return variance 1996VOLATILITY, LEVERAGE AND FIRM SIZE: THE U.K. EVIDENCE 2016Long memory and structural change in the G7 inflation dynamics

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Year2006

Typearticle

Published2006-06-20

VenueJournal of International Financial Markets Institutions and Money

ISSN-L1042-4431

Languageen

Citations24

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.intfin.2006.05.004

openalex_workW1539908885

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