INTERNATIONAL TRANSMISSION EFFECTS OF VOLATILITY BETWEEN FINANCIAL MARKETS IN THE G-7 SINCE THE INTRODUCTION OF THE EURO

Lucía Morales
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Lucía Morales: Dublin Institute of Technology, Dublin, Ireland

Chapter 4 in Banking and Capital Markets:New International Perspectives, 2010, pp 87-128 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:IntroductionLiterature ReviewData and MethodologyEmpirical ResultsDescriptive StatisticsUnit Root TestsLikelihood Ratio TestVolatility PersistenceVolatility SpilloversAsymmetric SpilloversDiagnostic TestsConclusionsEndnotesReferences

Keywords: Financial Crises; Bank Lending; Corporate Governance; Equity Costs; International Joint Ventures; Value-at-Risk; Cross-Border Acquisitions; Cross-Country Listings; Buyout Activity; Spillover Effects (search for similar items in EconPapers)
Date: 2010
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