Volatility spillovers and the price of risk: Evidence from the Swiss stock market

Empirical Economics

Volumn 24, Issue 2, 1999, Pages 303-322

  Jochum, Christian ^a  

^a UNIVERSITY OF ST GALLEN   (Switzerland)

Author keywords

Kalman filter; Risk premium; Volatility spillovers

Indexed keywords

PRICE DYNAMICS; SPILLOVER EFFECT; STOCK MARKET;

SWITZERLAND;

EID: 0032820416     PISSN: 03777332     EISSN: None     Source Type: Journal    
DOI: 10.1007/s001810050056     Document Type: Article

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