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Volatility Spillover Effects in European Equity Markets · Study

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PreprintVolatility Spillover Effects in European Equity Markets

Lieven Baele2002

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Preprintgreen2002

Volatility Spillover Effects in European Equity Markets

141 citations·0/0 files stored·SSRN Electronic Journal

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

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References

1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle 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 1995Multivariate Simultaneous Generalized ARCH 1993Measuring and Testing the Impact of News on Volatility 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances 1999Financial Development and Economic Growth: Views and Agenda

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2019Global Political Uncertainty and Asset Prices 2019The effect of economic policy uncertainty on stock-commodity correlations and its implications on optimal hedging 2003Volatility and shocks spillover before and after EMU in European stock markets 2007Model uncertainty, financial market integration and the home bias puzzle 2011Oil shock transmission to stock market returns: Wavelet-multivariate Markov switching GARCH approach

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2005Volatility Spillover Effects in European Equity Marketsarticle · 22 shared references 2007Time-Varying Integration and International Diversification Strategiesarticle · 18 shared references 2005Volatility Transmission Models: A Surveypreprint · 17 shared references 2007Market integration and contagion: Evidence from Asian emerging stock and foreign exchange marketsarticle · 16 shared references 2012The Dynamics of Geographic versus Sectoral Diversification: Is There a Link to the Real Economy?article · 14 shared references 2016Globalization and Asset Returnsreview · 13 shared references

Details

Year2002

Typepreprint

Published2002-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations141

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

Identifiers

doi10.2139/ssrn.302851

openalex_workW2030929993

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2009The Myth of Diversification

2005Correlation dynamics in European equity markets

2009Home Bias Revisited