Browsing School of Economic Sciences and Business by Subject "VAR"

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Volatility Spillovers and Price Interdependencies; A Dynamic non Parametric Approach

Giannopoulos, Kostas; Nekhili, Ramzi; Koutmos, Gregory (International Research Journal of Finance and Economics, 2010)

This paper investigates the volatility spillovers of four major equity markets using a new approach namely, the Filtered Historical Simulation approach (FHS). The FHS captures very effectively the changes ...