Volatility Spillovers in New Member States: A Bayesian Model
Radek Janhuba
Broschiertes Buch

Volatility Spillovers in New Member States: A Bayesian Model

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Volatility spillovers in stock markets have become an important phenomenon, especially in times of crises. Mechanisms of shock transmission from one market to another are important for the international portfolio diversification. Our work examines impulse responses and variance decomposition of main stock indices in emerging Central European markets (Czech Republic, Poland, Slovakia and Hungary) in the period of January 2007 to August 2009. Two models are used: A vector autoregression (VAR) model with constant variance of residuals and a time varying parameter vector autoregression (TVP-VAR) m...