Return and volatility spillovers in equity markets: An investigation using various GARCH methodologies

This paper investigates linkages among equity market returns and volatility spillovers in the following countries: Germany, United Kingdom, China, Russia, and Turkey. MARMA, GARCH, GARCH-in-mean, and exponential GARCH (EGARCH) methodologies are applied to daily data on country exchange-traded funds...

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Bibliographic Details
Main Authors: Lidija Dedi, Burhan F. Yavas
Format: Article
Published: Taylor & Francis Group 2016-12-01
Series:Cogent Economics & Finance
Online Access: