Networks of volatility spillovers among stock markets

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Summary, etc.：: In our network analysis of 40 developed, emerging and frontier stock markets during the 2006-2014 period, we describe and model volatility spillovers ...

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Material Type: 文書・図像類
Title: Networks of volatility spillovers among stock markets
Author/Editor: Baumöhl, Eduard
Kočenda, Evžen
Lyócsa, Štefan
Výrost, Tomáš
Author Heading: Baumöhl, Eduard
Kočenda, Evžen
Lyócsa, Štefan
Výrost, Tomáš
Publication, Distribution, etc.: Institute of Economic Research, Kyoto University
Publication Date: 2016-05
Publication Date (W3CDTF): 2016-05
Periodical title: KIER Discussion Paper
No. or year of volume/issue: 941
Volume: 941
Text Language Code: eng
Subject Heading: volatility spillovers
stock markets
shock transmission
Granger causality network
spatial regression
financial crisis
NDC: 330
Target Audience: 一般
Format (IMT): application/pdf
Source: DP941.pdf （fulltext）
http://repository.kulib.kyoto-u.ac.jp/dspace/bitstream/2433/214307/1/DP941.pdf
Access Restrictions: インターネット公開
Data Provider (Database): 国立情報学研究所 : 学術機関リポジトリデータベース（IRDB）（機関リポジトリ）
https://irdb.nii.ac.jp
Original Data Provider (Database): 京都大学 : 京都大学学術情報リポジトリ