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Survey of volatility and spillovers on financial markets
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SYSNO ASEP 0490351 Document Type J - Journal Article R&D Document Type Journal Article Subsidiary J Článek ve WOS Title Survey of volatility and spillovers on financial markets Author(s) Kočenda, Evžen (UTIA-B) ORCID Number of authors 1 Source Title Prague Economic Papers. - : Vysoká škola ekonomická v Praze - ISSN 1210-0455
Roč. 27, č. 3 (2018), s. 293-305Number of pages 18 s. Publication form Print - P Language eng - English Country CZ - Czech Republic Keywords volatility ; spillovers ; financial markets Subject RIV AH - Economics OECD category Applied Economics, Econometrics R&D Projects GBP402/12/G097 GA ČR - Czech Science Foundation (CSF) Institutional support UTIA-B - RVO:67985556 UT WOS 000437554400003 EID SCOPUS 85048704040 DOI 10.18267/j.pep.650 Annotation In this survey article, we present a rich extent of literature on volatility and its propagation on financial markets via spillovers. We document how new approaches or improved existing methodologies lead to results that offer richer insights than those derived from standard econometric techniques. Moreover, the implications of the results can be related to a wide set of markets as the surveyed articles cover emerging and developed European markets as well as the United States. Workplace Institute of Information Theory and Automation Contact Markéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201. Year of Publishing 2019
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