EMU equity markets' return variance and spillover effects from the short-term interest rate

DOI10.1080/14697688.2012.712211zbMath1280.91201OpenAlexW2155237474MaRDI QIDQ5746775

Aijun Hou

Publication date: 8 February 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: http://urn.kb.se/resolve?urn=urn:nbn:se:su:diva-116175

zbMATH Keywords

MCMCMarkov-switchingshort-term interest ratesEMU stock marketsGJR-M

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Interest rates, asset pricing, etc. (stochastic models) (91G30) Statistical methods; economic indices and measures (91B82)

Uses Software

• FinTS

Cites Work

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