Volatility linkages across three major equity markets: A financial arbitrage approach

Journal of International Money and Finance

Volumn 24, Issue 3, 2005, Pages 413-439

  Cifarelli, Giulio ^a   Paladino, Giovanna ^b  

^a UNIVERSITY OF FLORENCE   (Italy)

^b LUISS UNIVERSITY   (Italy)

Author keywords

Multivariate GARCH; Stock market exuberance; Volatility transmission

Indexed keywords

EID: 15844398249     PISSN: 02615606     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jimonfin.2005.01.005     Document Type: Article

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