ESTIMATING VOLATILITY SPILLOVERS, DYNAMIC CAUSAL LINKAGES AND INTERNATIONAL CONTAGION PATTERNS BETWEEN DEVELOPED STOCK MARKETS : AN EMPIRICAL CASE STUDY FOR USA, CANADA, FRANCE AND UK

ESTIMATING VOLATILITY SPILLOVERS, DYNAMIC CAUSAL LINKAGES AND INTERNATIONAL CONTAGION PATTERNS BETWEEN DEVELOPED STOCK MARKETS : AN EMPIRICAL CASE STUDY FOR USA, CANADA, FRANCE AND UK

This research paper examines in a comparative manner the long-term behavior of certain developed economies, such as USA, Canada, France and UK. The applied financial econometrics approach includes relevant research methods such as descriptive statistics, Unit Root Test, Hodrick-Prescott (HP) filte...

Full description

Bibliographic Details
Main Authors: CRISTI SPULBAR, JATIN TRIVEDI, RAMONA BIRAU, TENEA COSMIN ANDREI, ABDULLAH EJAZ
Format: Article
Language:English
Published: Academica Brâncuşi 2019-06-01
Series:Analele Universităţii Constantin Brâncuşi din Târgu Jiu : Seria Economie
Subjects:
volatility; international portofolio diversification; causal transmission patterns; developed stock markets; global financial crisis
Online Access:http://www.utgjiu.ro/revista/ec/pdf/2019-03/05_Spulbar.pdf

Internet

http://www.utgjiu.ro/revista/ec/pdf/2019-03/05_Spulbar.pdf

Similar Items