Naslov (eng)

The effects of volatility spillover on the largest global financial market segments

Autor

Janković, Irena

Opis (eng)

Abstract: The aim of the paper is to present and analyse indicators of financial connectedness and volatility spillover on important segments of the global financial market – the stock market, bond market, CDS market, and foreign exchange market. Total, net, and directional measures of volatility spillover are presented and analysed, indicating the level of connectedness of countries’ particular market segments and the level of volatility spillover in periods of crisis and stability.

Jezik

engleski

Datum

2018

Licenca

Ovo delo je licencirano pod uslovima licence
Creative Commons CC BY-NC-ND 4.0 - Creative Commons Autorstvo - Nekomercijalno - Bez prerada 4.0 International License.

http://creativecommons.org/licenses/by-nc-nd/4.0/legalcode

Predmet

Key words: financial connectedness, generalised VAR, volatility spillovers, global financial market segments

Deo kolekcije (1)

o:28218

Ekonomski fakultet