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International risk transmission of stock market movements · Study

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ArticleInternational risk transmission of stock market movements

Yifan Shen2017

Article2017

International risk transmission of stock market movements

42 citations·0/0 files stored·Economic Modelling

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

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets 2004CAViaR 1990Transmission of Volatility between Stock Markets 1989Transmission of Volatility Between Stock Markets 1989International Transmission of Stock Market Movements

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Details

Year2017

Typearticle

Published2017-11-10

VenueEconomic Modelling

ISSN-L0264-9993

Languageen

Citations42

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.econmod.2017.09.022

openalex_workW2768049090

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