Asymmetric variance and spillover effects. Regime shifts in the Spanish stock market

Journal of International Financial Markets, Institutions and Money

Volumn 18, Issue 1, 2008, Pages 1-15

  Miralles Marcelo, José Luis ^a   Quirós, José Luis Miralles ^a   Quirós, María del Mar Miralles ^a  

^a UNIVERSITY OF EXTREMADURA   (Spain)

Author keywords

Bivariate GARCH; ICSS; Spillovers

Indexed keywords

EID: 37449014491     PISSN: 10424431     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.intfin.2006.05.004     Document Type: Article

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