Volatility spillover from the US to international stock markets: A heterogeneous volatility spillover GARCH model
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Publication:4961416
DOI10.1002/for.2509zbMath1400.62241MaRDI QIDQ4961416
Zhiyuan Pan, Yudong Wang, Chongfeng Wu
Publication date: 29 October 2018
Published in: Journal of Forecasting (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/for.2509
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P05: Applications of statistics to actuarial sciences and financial mathematics
62J10: Analysis of variance and covariance (ANOVA)
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