A MEM-based Analysis of Volatility Spillovers in East Asian Financial Markets
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More about this item
KeywordsMultiplicative Error Model; volatility spillovers; impulse response functions; East Asian Markets;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications
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