Stock Market Integration Between Three CEECs
نویسندگان
چکیده
منابع مشابه
Guglielmo Maria Caporale and Nicola Spagnolo Stock Market Integration between Three CEECs , Russia and the UK March 2010
This paper estimates a tri-variate VAR-GARCH(1,1)-in-mean model to examine linkages between the stock markets of three Central and Eastern European countries (CEECs), specifically the Czech Republic, Hungary, and Poland, and both the UK and Russia. The adopted framework allows to analyse interdependence by estimating volatility spillovers, and also contagion by testing for possible shifts in th...
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ژورنال
عنوان ژورنال: Journal of Economic Integration
سال: 2012
ISSN: 1225-651X,1976-5525
DOI: 10.11130/jei.2012.27.1.115