Volatility and asymmetric dependence in Central and East European stock markets

Joseph, N.L., Vo, T.T.A., Mobarek, A. et al. (1 more author) (2020) Volatility and asymmetric dependence in Central and East European stock markets. Review of Quantitative Finance and Accounting. ISSN 0924-865X

Abstract

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Authors/Creators:
  • Joseph, N.L.
  • Vo, T.T.A.
  • Mobarek, A.
  • Mollah, S.
Copyright, Publisher and Additional Information: © The Author(s) 2020. This article is licensed under a Creative Commons Attribution 4.0 International License, which permits use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons licence, and indicate if changes were made. The images or other third party material in this article are included in the article’s Creative Commons licence, unless indicated otherwise in a credit line to the material. If material is not included in the article’s Creative Commons licence and your intended use is not permitted by statutory regulation or exceeds the permitted use, you will need to obtain permission directly from the copyright holder. To view a copy of this licence, visit http://creativecommons.org/licenses/by/4.0/.
Keywords: Cross-country contagion; Global financial crisis; Eurozone crisis; GARCH; Vector error-correction models; Time-varying copula functions
Dates:
  • Published (online): 18 March 2020
Institution: The University of Sheffield
Academic Units: The University of Sheffield > Faculty of Social Sciences (Sheffield) > Sheffield University Management School
Depositing User: Symplectic Sheffield
Date Deposited: 25 Mar 2020 13:25
Last Modified: 25 Mar 2020 13:25
Status: Published online
Publisher: Springer Science and Business Media LLC
Refereed: Yes
Identification Number: https://doi.org/10.1007/s11156-020-00874-0

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