Spillover effect: A study for major capital markets and Romania capital market
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References listed on IDEAS
- Robert Engle, 2004.
"Risk and Volatility: Econometric Models and Financial Practice,"
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American Economic Association, vol. 94(3), pages 405-420, June.
- Engle III, Robert F., 2003. "Risk and Volatility: Econometric Models and Financial Practice," Nobel Prize in Economics documents 2003-4, Nobel Prize Committee.
- Bollerslev, Tim, 1987. "A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return," The Review of Economics and Statistics, MIT Press, vol. 69(3), pages 542-547, August.
- Ser-Huang Poon, 2004. "Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications," Review of Financial Studies, Society for Financial Studies, vol. 17(2), pages 581-610.
More about this item
Keywordsspillover effects; capital market;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2009-11-21 (All new papers)
- NEP-FMK-2009-11-21 (Financial Markets)
- NEP-RMG-2009-11-21 (Risk Management)
- NEP-TRA-2009-11-21 (Transition Economics)
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