Volatility spillovers across global asset classes: Evidence from time and frequency domains

Author:

Tiwari Aviral Kumar,Cunado Juncal,Gupta Rangan,Wohar Mark E.

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference47 articles.

1. Portfolio choice in markets with contagion;Aït-Sahalia;Journal of Financial Econometrics,2016

2. International asset allocation with regime shifts;Ang;Review of Financial Studies,2002

3. Sovereign bond yield spillovers in the Euro zone during the financial and debt crisis;Antonakakis;Journal of International Financial Markets, Institutions and Money,2013

4. Financial stress spillovers in advanced economies;Apostolakisa;Journal of International Financial Markets, Institutions and Money,2014

5. Directional spillovers from the US and the Saudi market to equities in the Gulf cooperation council countries;Awartania;Journal of International Financial Markets, Institutions and Money,2013

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