Causality and contagion in emerging stock markets
Given the evidence of occasional discrete shifts in the conditional variance process, it is essential to test the volatility transmission between financial markets when a reasonable suspicion exists for structural change. This paper aims to study the interdependencies in terms of stock market volati...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2018-12-01
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| Series: | Borsa Istanbul Review |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2214845018300875 |