Revisiting spillover effect: An empirical evidence from GARCH-ARMA approach
This study analyzes the spillover effect of markets' commodity, exchange rate, and stock price. Starting from July 1, 2009, the daily data to December 31, 2019, are conducted in our study. The GARCH-ARMA approach has been undertaken in this study. The results show that four pairs experience the...
| Main Authors: | , , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Economics institute, Belgrade
2021-01-01
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| Series: | Industrija |
| Subjects: | |
| Online Access: | https://scindeks-clanci.ceon.rs/data/pdf/0350-0373/2021/0350-03732101067D.pdf |