VOLATILITY SPILLOVER BETWEEN GERMANY, FRANCE, AND CEE STOCK MARKETS
Author:
Affiliation:
1. Department of Accounting, Business Information Systems and Statistics, Faculty of Economics and Business Administration, “Alexandru Ioan Cuza” University of Iasi, Iasi, Romania
Abstract
Publisher
Vilnius Gediminas Technical University
Subject
Economics and Econometrics,Business, Management and Accounting (miscellaneous)
Reference48 articles.
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2. Ajayi, R. A., Mehdian, S., & Stoica, O. (2018). An empirical examination of the dissemination of equity price innovations between the emerging mar-kets of Nordic-Baltic States and major advanced markets. Emerging Markets Finance and Trade, 54(3), 642-660. https://doi.org/10.1080/1540496X.2017.1419426
3. Aktan, B., Korsakienė, R., & Smaliukiene, R. (2010). Time‐varying volatility modelling of Baltic stock markets. Journal of Business Economics and Management, 11(3), 511-532. https://doi.org/10.3846/jbem.2010.25
4. Andrieș, A. M., & Galasan, E. (2020). Measuring financial contagion and spillover effects with a state dependent sensitivity value-at-risk model. Risks, 8(1), 5. https://doi.org/10.3390/risks8010005
5. Antonakakis, N., & Gabauer, D. (2017). 10.3846/jbem.2022.18194-ined measures of dynamic connectedness based on TVP-VAR (MPRA Paper No. 78282).
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