Volatility transmission across markets: A Multichain Markov Switching model

Applied Financial Economics

Volumn 17, Issue 8, 2007, Pages 659-670

  Gallo, Giampiero M ^a   Otranto, Edoardo ^b  

^a UNIVERSITY OF FLORENCE   (Italy)

^b UNIVERSITY OF SASSARI   (Italy)

Author keywords

[No Author keywords available]

Indexed keywords

FINANCIAL MARKET; MARKOV CHAIN; MODELING; MULTIVARIATE ANALYSIS; PREDICTION; PRICE DYNAMICS; PROBABILITY;

ASIA; EURASIA;

EID: 34249862946     PISSN: 09603107     EISSN: 14664305     Source Type: Journal    
DOI: 10.1080/09603100600722151     Document Type: Article

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