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https://ruomo.lib.uom.gr/handle/7000/332
Πλήρης εγγραφή μεταδεδομένων
Πεδίο DC | Τιμή | Γλώσσα |
---|---|---|
dc.contributor.author | Koulakiotis, Athanasios | - |
dc.contributor.author | Dasilas, Apostolos | - |
dc.contributor.author | Papasyriopoulos, Nicholas | - |
dc.date.accessioned | 2019-10-30T11:31:58Z | - |
dc.date.available | 2019-10-30T11:31:58Z | - |
dc.date.issued | 2009 | - |
dc.identifier | 10.1016/j.qref.2009.01.003 | en_US |
dc.identifier.issn | 1062-9769 | en_US |
dc.identifier.uri | https://doi.org/10.1016/j.qref.2009.01.003 | en_US |
dc.identifier.uri | https://ruomo.lib.uom.gr/handle/7000/332 | - |
dc.description.abstract | This study uses the multivariate GARCH-BEKK modelling approach to examine the transmission of news (both volatility and error) between portfolios of cross-listed equities within three European financial regions, that is, the Scandinavian (Denmark, Sweden, Finland and Norway), the Germanic (Austria, Switzerland and Germany) and the French area (Brussels, France, Italy, Holland and Spain). We find that the Finnish and Danish portfolios of cross-listed equities are the main transmitters of volatility relative to the Swedish and Norwegian portfolios of cross-listed equities. On the other hand, the Swiss portfolio of cross-listed equities is the major exporter of volatility and error to the other portfolios of cross-listed equities in the Germanic stock market area. Finally, the Paris, Amsterdam and Brussels stock exchanges are the major exporters of volatility and error to the portfolios of cross-listed equities traded on the Milan and Madrid stock exchanges. | en_US |
dc.language.iso | en | en_US |
dc.source | The Quarterly Review of Economics and Finance | en_US |
dc.subject | FRASCATI::Social sciences::Economics and Business::Finance | en_US |
dc.title | Volatility and error transmission spillover effects: Evidence from three European financial regions | en_US |
dc.type | Article | en_US |
dc.contributor.department | Τμήμα Εφαρμοσμένης Πληροφορικής | en_US |
local.identifier.volume | 49 | en_US |
local.identifier.issue | 3 | en_US |
local.identifier.firstpage | 858 | en_US |
local.identifier.lastpage | 869 | en_US |
Εμφανίζεται στις Συλλογές: | Τμήμα Εφαρμοσμένης Πληροφορικής |
Αρχεία σε αυτό το Τεκμήριο:
Αρχείο | Περιγραφή | Μέγεθος | Μορφότυπος | |
---|---|---|---|---|
Volatility and Error Transmission Spillover Effects. Evidence from three European Financial Regions. Final.pdf | 442,19 kB | Adobe PDF | Προβολή/Ανοιγμα |
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