SURVEY OF VOLATILITY AND SPILLOVERS ON FINANCIAL MARKETS

被引：3
|
作者：
Kocenda, Evzen [1 ,2 ,3 ,4 ]
机构：
[1] Charles Univ Prague, Inst Econ Studies, Prague, Czech Republic
[2] Czech Acad Sci, Inst Theory Informat & Automat, Prague, Czech Republic
[3] CES, Munich, Germany
[4] IOS, Regensburg, Germany
来源：
PRAGUE ECONOMIC PAPERS | 2018年 / 27卷 / 03期
关键词：
volatility; volatility spillovers; financial markets; AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY; EXCHANGE-RATE VOLATILITY; ASYMMETRIC VOLATILITY; EQUITY MARKETS; STOCK MARKETS; ECONOMETRIC-ANALYSIS; REALIZED VOLATILITY; MODELS; RETURN; RATES;
D O I：
10.18267/j.pep.650
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
In this survey article, we present a rich extent of literature on volatility and its propagation on financial markets via spillovers. We document how new approaches or improved existing methodologies lead to results that offer richer insights than those derived from standard econometric techniques. Moreover, the implications of the results can be related to a wide set of markets as the surveyed articles cover emerging and developed European markets as well as the United States.
引用
收藏
页码：293 / 305
页数：13
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