Show simple item record

dc.contributor.authorApergis, Nicholas
dc.contributor.authorRezitis, Antonios
dc.date.accessioned2019-03-14T17:34:17Z
dc.date.available2019-03-14T17:34:17Z
dc.date.issued2002-12-16
dc.identifier.urihttp://hdl.handle.net/10545/623557
dc.description.abstractWe investigate cross‐market volatility spillover effects across New York and London foreign exchange and equity markets. By using several daily data‐sets, each relating to a different time of the day, and the generalized autoregressive conditional heteroscedasticity approach, the empirical analysis found volatility spillover effects (meteor shower effects) from the foreign exchange market in London and New York to the equity market in New York and London, respectively. By contrast, the results did not show volatility spillover effects from the equity markets to the foreign exchange markets across New York and London.en
dc.description.sponsorshipN/Aen
dc.language.isoenen
dc.publisherWileyen
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/*
dc.subjectAsymmetric volatility spilloversen
dc.subjectEquity marketsen
dc.subjectForeign exchange marketsen
dc.titleAsymmetric Cross‐market Volatility Spillovers: Evidence from Daily Data on Equity and Foreign Exchange Marketsen
dc.typeArticleen
dc.contributor.departmentUniversity of Ioanninaen
dc.contributor.departmentUniversity of Ioanninaen
dc.identifier.journalThe Manchester Schoolen


This item appears in the following Collection(s)

Show simple item record

http://creativecommons.org/licenses/by-nc-nd/4.0/
Except where otherwise noted, this item's license is described as http://creativecommons.org/licenses/by-nc-nd/4.0/