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

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
Language:	English
Published:	Taylor & Francis Group 2016-12-01
Series:	Cogent Economics & Finance
Subjects:	etfs returns volatility persistence volatility spillovers marma garch garch-in-mean egarch
Online Access:	http://dx.doi.org/10.1080/23322039.2016.1266788

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