Return and volatility spillovers between large and small stocks in the UK

Journal of Business Finance and Accounting

Volumn 33, Issue 9-10, 2006, Pages 1556-1571

  Harris, Richard D F ^a   Pisedtasalasai, Anirut ^b  

^a UNIVERSITY OF EXETER   (United Kingdom)

^b UNIVERSITY OF CANTERBURY   (New Zealand)

Author keywords

FTSE indices; Multivariate GARCH; Return and volatility spillovers

Indexed keywords

EID: 33845389488     PISSN: 0306686X     EISSN: 14685957     Source Type: Journal    
DOI: 10.1111/j.1468-5957.2006.00635.x     Document Type: Article

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