Volatility spillover from the united states and Japanese stock markets to the Vietnamese stock market: A frequency domain approach
Using frequency domain analysis, this paper examines the volatility spillover from the United States and Japanese stock markets to the Vietnamese stock market. Daily data of S&P 500, Nikkei 225 and VN-Index from January 01, 2012 to May 31, 2016 is used. In terms of estimation, the GARCH model is...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Economists' Association of Vojvodina
2021-01-01
|
| Series: | Panoeconomicus |
| Subjects: | |
| Online Access: | http://www.doiserbia.nb.rs/img/doi/1452-595X/2021/1452-595X2000003N.pdf |