Jump spillover in international equity markets

Journal of Financial Econometrics

Volumn 4, Issue 2, 2006, Pages 167-203

  Asgharian, Hossein ^a   Bengtsson, Christoffer ^a  

^a LUND UNIVERSITY   (Sweden)

Author keywords

Event risk; Jump diffusion model; Markov chain Monte Carlo; Spillover; Stochastic volatility; Systemic risk

Indexed keywords

EID: 33646183144     PISSN: 14798409     EISSN: 14798417     Source Type: Journal    
DOI: 10.1093/jjfinec/nbj005     Document Type: Article

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