Global and regional spillovers in emerging stock markets: A multivariate GARCH-in-mean analysis

Emerging Markets Review

Volumn 11, Issue 3, 2010, Pages 250-260

  Beirne, John ^a   Caporale, Guglielmo Maria ^b   Schulze Ghattas, Marianne ^c   Spagnolo, Nicola ^b  

^a EUROPEAN CENTRAL BANK   (Germany)

^b BRUNEL UNIVERSITY   (United Kingdom)

^c LONDON SCHOOL OF ECONOMICS   (United Kingdom)

Author keywords

Contagion; Emerging markets; Stock markets; Volatility spillovers

Indexed keywords

EID: 77955086952     PISSN: 15660141     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ememar.2010.05.002     Document Type: Article

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